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A Support Theorem for Stochastic Differential Equations Driven by a Fractional Brownian Motion

Author

Listed:
  • Jie Xu

    (Henan Normal University)

  • Yanhua Sun

    (Henan Normal University)

  • Jie Ren

    (Henan University of Economics and Laws)

Abstract

In this paper we prove a support theorem for a class of Itô–Volterra equations related to the fractional Brownian motion. The simplified method developed by Millet and Sanz-Solé plays an important role.

Suggested Citation

  • Jie Xu & Yanhua Sun & Jie Ren, 2023. "A Support Theorem for Stochastic Differential Equations Driven by a Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 36(2), pages 728-761, June.
    • Handle: RePEc:spr:jotpro:v:36:y:2023:i:2:d:10.1007_s10959-022-01186-w
    DOI: 10.1007/s10959-022-01186-w
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    References listed on IDEAS

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    1. Hu, Ying & Matoussi, Anis & Zhang, Tusheng, 2015. "Wong–Zakai approximations of backward doubly stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4375-4404.
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