Abstract
The aim of this paper is to approximate the solution of a stochastic differential equation driven by fractional Brownian motion (with Hurst index greater than 1/2 ) using a series expansion for the noise. We prove that the solution of the approximating equations converge in probability to the solution of the given equation. We illustrate the approximation through an example from mathematical finance.
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© 2007 Birkhäuser Verlag Basel/Switzerland
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Lisei, H., Soós, A. (2007). Approximation of Stochastic Differential Equations Driven by Fractional Brownian Motion. In: Dalang, R.C., Russo, F., Dozzi, M. (eds) Seminar on Stochastic Analysis, Random Fields and Applications V. Progress in Probability, vol 59. Birkhäuser Basel. https://doi.org/10.1007/978-3-7643-8458-6_13
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DOI: https://doi.org/10.1007/978-3-7643-8458-6_13
Publisher Name: Birkhäuser Basel
Print ISBN: 978-3-7643-8457-9
Online ISBN: 978-3-7643-8458-6
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