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Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations

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Ukrainian Mathematical Journal Aims and scope

We prove a general theorem on the convergence of solutions of stochastic differential equations. As a corollary, we obtain a result concerning the convergence of solutions of stochastic differential equations with absolutely continuous processes to a solution of an equation with Brownian motion.

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Authors and Affiliations

  1. Shevchenko Kyiv National University, Kyiv, Ukraine

    K. V. Ral’chenko & H. M. Shevchenko

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  1. K. V. Ral’chenko
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  2. H. M. Shevchenko
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 62, No. 9, pp. 1256–1268, September, 2010.

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Ral’chenko, K.V., Shevchenko, H.M. Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations. Ukr Math J 62, 1460–1475 (2011). https://doi.org/10.1007/s11253-011-0442-y

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  • DOI: https://doi.org/10.1007/s11253-011-0442-y

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