Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness

Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness

Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using Skorokhod’s selection theorem.

Bibliographic Details
Main Authors: Oussama El Barrimi, Youssef Ouknine
Format: Article
Language:English
Published: VTeX 2016-12-01
Series:Modern Stochastics: Theory and Applications
Subjects:
fractional Brownian motion
Stochastic differential equations
Online Access:https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA69
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spelling doaj-b0936c4595af4c6c88ba8b87249270ae2020-11-24T21:45:12ZengVTeXModern Stochastics: Theory and Applications2351-60462351-60542016-12-013430331310.15559/16-VMSTA69Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniquenessOussama El Barrimi0Youssef Ouknine1Cadi Ayyad University, Faculty of Sciences Semlalia, Av. My Abdellah, 2390, Marrakesh, MoroccoCadi Ayyad University, Faculty of Sciences Semlalia, Av. My Abdellah, 2390, Marrakesh, Morocco; Hassan II Academy of Sciences and Technology Rabat, MoroccoOur aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using Skorokhod’s selection theorem.https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA69fractional Brownian motionStochastic differential equations
collection DOAJ
language English
format Article
sources DOAJ
author Oussama El Barrimi
Youssef Ouknine
spellingShingle Oussama El Barrimi
Youssef Ouknine
Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
Modern Stochastics: Theory and Applications
fractional Brownian motion
Stochastic differential equations
author_facet Oussama El Barrimi
Youssef Ouknine
author_sort Oussama El Barrimi
title Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
title_short Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
title_full Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
title_fullStr Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
title_full_unstemmed Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
title_sort approximation of solutions of sdes driven by a fractional brownian motion, under pathwise uniqueness
publisher VTeX
series Modern Stochastics: Theory and Applications
issn 2351-6046
2351-6054
publishDate 2016-12-01
description Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using Skorokhod’s selection theorem.
topic fractional Brownian motion
Stochastic differential equations
url https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA69
work_keys_str_mv AT oussamaelbarrimi approximationofsolutionsofsdesdrivenbyafractionalbrownianmotionunderpathwiseuniqueness
AT youssefouknine approximationofsolutionsofsdesdrivenbyafractionalbrownianmotionunderpathwiseuniqueness
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