Journal article
Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
Year:
2011Published in:
Institute of Mathematics of the National Academy of Sciences of UkraineAPPROXIMATION theory
NUMERICAL solutions to stochastic differential equations
WIENER processes
MATHEMATICAL proofs
STOCHASTIC convergence
FRACTIONAL calculus
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.