Approximation of stochastic differential equations with modified fractional Brownian motion

Zeitschrift für Analysis und ihre Anwendungen

Volumn 17, Issue 3, 1998, Pages 715-727

  Grecksch, W ^a   Anh, V V ^b  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Modified fractional Brownian motion; Splitting method; Stochastic integral; optimal control

Indexed keywords

EID: 26444492247     PISSN: 02322064     EISSN: None     Source Type: Journal    
DOI: 10.4171/ZAA/846     Document Type: Article

References (11)

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