JournalszaaVol. 28 , No. 2DOI 10.4171/zaa/1378

Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion

  • Constantin Tudor

    University of Bucharest, Romania
Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion cover

Abstract

We consider Wong–Zakai type approximations for a class of Itô–Volterra equations related to the fractional Brownian motion. The quadratic mean convergence, uniformly on compact time intervals, of the approximations to the solution of an Itô–Volterra equation with a modified drift is obtained.