Convergence of delay differential equations driven by fractional Brownian motion

被引：0

作者：

Marco Ferrante

Carles Rovira

机构：

[1] Università di Padova,Dipartimento di Matematica Pura ed App.

[2] Universitat de Barcelona,Facultat de Matemàtiques

来源：

Journal of Evolution Equations | 2010年 / 10卷

关键词：

60H05; 60H07; Stochastic differential delay equations; Fractional Brownian motion; Riemann–Stieltjes integral;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this note, we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter H > 1/2. Then, we show that, when the delay goes to zero, the solutions to these equations converge, almost surely and in Lp, to the solution for the equation without delay. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann–Stieltjes integral.

引用

页码：761 / 783

页数：22

共 10 条

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[8] Rascanu A.(undefined)undefined undefined undefined undefined-undefined
[9] Young L.C.(undefined)undefined undefined undefined undefined-undefined
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