Title of article :
Wong-Zakai approximation of stochastic Volterra integral equations
Author/Authors :
Kamrani ، Minoo Department of Mathematics - Faculty of Science - Razi university
Abstract :
This study aims to investigate a stochastic Volterra integral equation driven by fractional Brownian motion with Hurst parameter $H\in (\frac 12, 1)$. We employ the Wong-Zakai approximation to simplify this intricate problem, transforming the stochastic integral equation into an ordinary integral equation. Moreover, we consider the convergence and the rate of convergence of the Wong-Zakai approximation for this kind of equation.
Keywords :
Wong , Zakai approximation , fractional Brownian motion , Volterra integral equation
Journal title :
Computational Methods for Differential Equations
Journal title :
Computational Methods for Differential Equations