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    STUDIA MATHEMATICA - Issue no. 2 / 2011  
         
  Article:   APPROXIMATION OF THE SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIFRACTIONAL BROWNIAN MOTION.

Authors:  . 		 
       
         
  Abstract:  

The aim of this paper is to approximate the solution of a stochastic differential equations

dX(t) = F(X(t))dt + G(X(t))dB(t), X(0) = X0, t ≥ 0 on Rn.

We will use wavelet approximation of multifractional Brownian motion.

 

Mathematics Subject Classification (2010): Primary 60H10; Secondary: 60H05, 60J65.

 

Keywords: Stochastic differential equation, fractional Brownian motion.

  
         
     
         
         
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