Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
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Publication:2132956
DOI10.3934/MATH.2020144zbMath1484.65013OpenAlexW3007357064MaRDI QIDQ2132956
Publication date: 28 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2020144
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (5)
Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models ⋮ Unnamed Item ⋮ Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion ⋮ Reflected stochastic differential equations driven by standard and fractional Brownian motion ⋮ mu-Brownian motion, dualities, diffusions, transforms, and reproducing kernel Hilbert spaces
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