Journal article

Approximation Of Solutions Of Stochastic Differential Equations With Fractional Brownian Motion By Solutions Of Random Ordinary Differential Equations

Year:

2011

Published in:

Institute of Mathematics of the National Academy of Sciences of Ukraine

Authors:

,

Approximation 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.

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