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

页码：484 / 501

页数：18

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