Wong-Zakai approximation of stochastic Volterra integral equations
عنوان مقاله: Wong-Zakai approximation of stochastic Volterra integral equations
شناسه ملی مقاله: JR_CMDE-12-3_005
منتشر شده در در سال 1403
شناسه ملی مقاله: JR_CMDE-12-3_005
منتشر شده در در سال 1403
مشخصات نویسندگان مقاله:
Minoo Kamrani - Department of Mathematics, Faculty of Science, Razi university, Kermanshah, Iran.
خلاصه مقاله:
Minoo Kamrani - Department of Mathematics, Faculty of Science, Razi university, Kermanshah, Iran.
This study aims to investigate a stochastic Volterra integral equation driven by fractional Brownian motion with Hurst parameter H\in (\frac ۱۲, ۱). 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.
کلمات کلیدی: Wong-Zakai approximation, fractional Brownian motion, Volterra integral equation
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1998033/