Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
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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.
KeywordsBrownian Motion Gaussian Process Stochastic Differential Equation Besov Space Fractional Brownian Motion
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