Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
From MaRDI portal
Publication:2637204
DOI10.1016/j.spa.2013.11.004zbMath1285.60068arXiv1211.4813OpenAlexW2137714751MaRDI QIDQ2637204
Samy Tindel, Serge Cohen, Fabien Panloup
Publication date: 7 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.4813
Gaussian processes (60G15) Stationary stochastic processes (60G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (3)
A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise ⋮ Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Approximation of the distribution of a stationary Markov process with application to option pricing
- Approximation of stationary solutions of Gaussian driven stochastic differential equations
- Recursive computation of the invariant distribution of a diffusion
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- Curvilinear integrals along enriched paths
- Non-Markovian invariant measures are hyperbolic
- Differential equations driven by fractional Brownian motion
- Fractional {O}rnstein-{U}hlenbeck processes
- Ergodicity of stochastic differential equations driven by fractional Brownian motion
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
- An adaptive scheme for the approximation of dissipative systems
- Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
- Ergodic theory for SDEs with extrinsic memory
- Multidimensional Stochastic Processes as Rough Paths
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Ergodic properties of a class of non-Markovian processes
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
- Rough pathsviasewing Lemma
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
