| 分形布朗运动驱动的随机微分方程的逼近解 |
| |
| 引用本文： | 罗交晚,刘卫国.分形布朗运动驱动的随机微分方程的逼近解[J].广州大学学报(综合版),2014(2):1-3. |
| |
| 作者姓名： | 罗交晚 刘卫国 |
| |
| 作者单位： | 广州大学数学与信息科学学院,广东广州510006 |
| |
| 基金项目： | Supported lry the NSF of China（11271093）. |
| |
| 摘 要： | 利用Malliavin微积分和维纳Chaos分解知识，对一类由分形布朗运动驱动的随机微分方程的解在均方意义下进行逼近并得出了误差的上、下确界．
|
| 关 键 词： | 分形布朗运动 Chaos分解 条件期望 |
Approximation of stochastic differential equation driven by fractional Brownian motion |
| |
| LUO Jiao-wan,LIU Wei-guo.Approximation of stochastic differential equation driven by fractional Brownian motion[J].Journal of Guangzhou University,2014(2):1-3. |
| |
| Authors: | LUO Jiao-wan LIU Wei-guo |
| |
| Institution: | (School of Mathematics and Information Sciences, Guangzhou University, Guangzhou 510006, China) |
| |
| Abstract: | Approximating to the result of stochastic the sense of mean square error criterion by means we derive the lower and upper error bounds. differential equation driven by fractional Brownian motion in of the Malliavin calculus and Wiener Chaos decomposition, |
| |
| Keywords: | fractional Brownian motion Chaos decomposition conditional expectation |
| 本文献已被 维普 等数据库收录！ |
