随机Volterra方程的中心极限定理

李宇勐. 随机Volterra方程的中心极限定理[J]. 应用概率统计, 2020, 36(2): 173-180. DOI: 10.3969/j.issn.1001-4268.2020.02.006

引用本文:

李宇勐. 随机Volterra方程的中心极限定理[J]. 应用概率统计, 2020, 36(2): 173-180. DOI: 10.3969/j.issn.1001-4268.2020.02.006

LI Yumeng, . entral Limit Theorem for Stochastic Volterra Equation[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(2): 173-180.

Citation:

LI Yumeng, . entral Limit Theorem for Stochastic Volterra Equation[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(2): 173-180.

entral Limit Theorem for Stochastic Volterra Equation

摘要: 在本文中, 我们研究一类随机Volterra方程,它包含了分数布朗运动驱动的随机微分方程等模型.我们利用It\^o(1979)建立的一个极大不等式, 在连续函数空间中关于一致收敛拓扑,建立了中心极限定理.

Abstract: In this paper, we study a class of stochastic Volterra equations, which include the stochastic differential equation driven by fractional Brownian motion. By using a maximal inequality due to It\^o (1979), we establish the central limit theorem for stochastic Volterra equation on the continuous path space, with respect to the uniform norm.

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