Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2

Stochastics ◽  
2008 ◽  
Vol 80 (5) ◽  
pp. 407-426 ◽  
Author(s):  
Francesca Biagini ◽  
Massimo Campanino ◽  
Serena Fuschini
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Discrete Approximation ◽  
Stochastic Integrals

scholarly journals Set-Valued Functions of Bounded Generalized Variation and Set-Valued Young Integrals

2020 ◽  
Author(s):  
Mariusz Michta ◽  
Jerzy Motyl
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Differential Inclusions ◽  
Stochastic Integrals ◽  
Stochastic Differential Inclusions ◽  
Generalized Variation

AbstractThe paper deals with some properties of set-valued functions having bounded Riesz p-variation. Set-valued integrals of Young type for such multifunctions are introduced. Selection results and properties of such set-valued integrals are discussed. These integrals contain as a particular case set-valued stochastic integrals with respect to a fractional Brownian motion, and therefore, their properties are crucial for the investigation of solutions to stochastic differential inclusions driven by a fractional Brownian motion.

Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion

2017 ◽  
Vol 17 (02) ◽  
pp. 1750013 ◽  
Author(s):  
Yong Xu ◽  
Bin Pei ◽  
Jiang-Lun Wu
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Fractional Brownian Motion ◽  
Stochastic Averaging ◽  
Hurst Parameter ◽  
Stochastic Integrals ◽  
Averaging Principle ◽  
Mean Square ◽  
Asymptotic Results ◽  
Different Types

In this paper, we are concerned with the stochastic averaging principle for stochastic differential equations (SDEs) with non-Lipschitz coefficients driven by fractional Brownian motion (fBm) of the Hurst parameter [Formula: see text]. We define the stochastic integrals with respect to the fBm in the integral formulation of the SDEs as pathwise integrals and we adopt the non-Lipschitz condition proposed by Taniguchi (1992) which is a much weaker condition with wider range of applications. The averaged SDEs are established. We then use their corresponding solutions to approximate the solutions of the original SDEs both in the sense of mean square and of probability. One can find that the similar asymptotic results are suitable for those non-Lipschitz SDEs with fBm under different types of stochastic integrals.

scholarly journals Selection Properties and Set-Valued Young Integrals of Set-Valued Functions

2020 ◽  
Vol 75 (4) ◽  
Author(s):  
Mariusz Michta ◽  
Jerzy Motyl
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Differential Inclusions ◽  
Stochastic Integrals ◽  
Hölder Continuous ◽  
Stochastic Differential Inclusions ◽  
Different Types ◽  
Convexity Assumptions

AbstractThe paper deals with some selection properties of set-valued functions and different types of set-valued integrals of a Young type. Such integrals are considered for classes of Hölder continuous or with bounded Young p-variation set-valued functions. Two different cases are considered, namely set-valued functions with convex values and without convexity assumptions. The integrals contain as a particular case set-valued stochastic integrals with respect to a fractional Brownian motion, and therefore, their properties are crucial for the investigation of solutions to stochastic differential inclusions driven by a fractional Brownian motion.

scholarly journals A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

2014 ◽  
Vol 51 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Dawei Hong ◽  
Shushuang Man ◽  
Jean-Camille Birget ◽  
Desmond S. Lun
Keyword(s):  
Brownian Motion ◽  
Convergence Rate ◽  
Fractional Brownian Motion ◽  
Parallel Algorithm ◽  
Uniform Approximation ◽  
Haar Wavelets ◽  
Hurst Index ◽  
Sample Paths ◽  
Vanishing Moment ◽  
Uniform Expansion

We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (Bt(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently.

Sign in / Sign up

Export Citation Format

Share Document