Wong-Zakai approximation of stochastic Volterra integral equations

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.

Keywords:

Wong-Zakai approximation , fractional Brownian motion , Volterra integral equation

Authors

Minoo Kamrani

Department of Mathematics, Faculty of Science, Razi university, Kermanshah, Iran.

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لینک ثابت به این Paper:

https://civilica.com/doc/1998033

شناسه ملی سند علمی:

JR_CMDE-12-3_005

تاریخ نمایه سازی: 23 خرداد 1403

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Kamrani, Minoo,1403,Wong-Zakai approximation of stochastic Volterra integral equations,https://civilica.com/doc/1998033

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Type of center: دانشگاه دولتی

Paper count: 14,529

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