Wong-Zakai approximation of stochastic Volterra integral equations

被引：0
|
作者：
Kamrani, Minoo [1 ]
机构：
[1] Razi Univ, Fac Sci, Dept Math, Kermanshah, Iran
来源：
COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS | 2024年 / 12卷 / 03期
关键词：
Wong-Zakai approximation; Fractional Brownian motion; Volterra integral equation; DIFFERENTIAL-EQUATIONS; DRIVEN;
D O I：
10.22034/cmde.2023.58696.2485
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This study aims to investigate a stochastic Volterra integral equation driven by fractional Brownian motion with Hurst parameter H is an element of ( 2 1 , 1). We employ the Wong-Zakai approximation to simplify this intricate problem, transforming the stochastic integral equation into an ordinary integral equation. Moreover, we consider the convergence and the rate of convergence of the Wong-Zakai approximation for this kind of equation.
引用
收藏
页码：484 / 501
页数：18
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