Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

DOI10.1016/j.spa.2013.11.004zbMath1285.60068arXiv1211.4813MaRDI 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

zbMATH Keywords

stochastic differential equation; fractional Brownian motion; stationary process; Euler scheme

Mathematics Subject Classification ID

60G15: Gaussian processes

60G10: Stationary stochastic processes

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise, A general drift estimation procedure for stochastic differential equations with additive fractional noise, Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory

Uses Software

• longmemo

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