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A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions
Author
Source
International Journal of Stochastic Analysis
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-05
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
We study the stability of the solutions of stochastic differential equations driven by fractional Brownian motions with Hurst parameter greater than half.
We prove that when the initial conditions, the drift, and the diffusion coefficients as well as the fractional Brownian motions converge in a suitable sense, then the sequence of the solutions of the corresponding equations converge in Hölder norm to the solution of a stochastic differential equation.
The limit equation is driven by the limit fractional Brownian motion and its coefficients are the limits of the sequence of the coefficients.
American Psychological Association (APA)
Saussereau, Bruno. 2012. A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions. International Journal of Stochastic Analysis،Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-460002
Modern Language Association (MLA)
Saussereau, Bruno. A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions. International Journal of Stochastic Analysis No. 2012 (2012), pp.1-13.
https://search.emarefa.net/detail/BIM-460002
American Medical Association (AMA)
Saussereau, Bruno. A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions. International Journal of Stochastic Analysis. 2012. Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-460002
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-460002