Year: 2024
Author: Jie Xu, Mingbo Zhang
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 6 : pp. 1526–1553
Abstract
In this paper, we shall prove a Wong-Zakai approximation for stochastic Volterra equations under appropriate assumptions. We may apply it to a class of stochastic differential equations with the kernel of fractional Brownian motion with Hurst parameter $H ∈ (1/2, 1)$ and subfractional Brownian motion with Hurst parameter $H ∈ (1/2, 1).$ As far as we know, this is the first result on stochastic Volterra equations in this topic.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2305-m2022-0268
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 6 : pp. 1526–1553
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 28
Keywords: Stochastic Volterra equations Wong-Zakai approximations Fractional Brownian motion Subfractional Brownian motion Quadratic mean convergence.