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Ukrainian Mathematical Journal

, Volume 62, Issue 9, pp 1460–1475 | Cite as

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

  • K. V. Ral’chenko
  • H. M. Shevchenko
Article
  • 144 Downloads

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.

Keywords

Brownian Motion Gaussian Process Stochastic Differential Equation Besov Space Fractional Brownian Motion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, Inc. 2011

Authors and Affiliations

  • K. V. Ral’chenko
    • 1
  • H. M. Shevchenko
    • 1
  1. 1.Shevchenko Kyiv National UniversityKyivUkraine

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