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Stability of stochastic differential equations driven by multifractional Brownian motion

Oussama El Barrimi and Youssef Ouknine

Abstract

Our aim in this paper is to establish some strong stability results for solutions of stochastic differential equations driven by a Riemann–Liouville multifractional Brownian motion. The latter is defined as a Gaussian non-stationary process with a Hurst parameter as a function of time. The results are obtained assuming that the pathwise uniqueness property holds and using Skorokhod’s selection theorem.

MSC 2010: 60H10; 60H07

Communicated by Vyacheslav L. Girko


References

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Received: 2020-04-10
Accepted: 2021-01-20
Published Online: 2021-04-02
Published in Print: 2021-06-01

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