Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion

DOI10.1080/03610926.2016.1152487zbMath1395.60063OpenAlexW2476167432MaRDI QIDQ5368783

Weiguo Liu, Luo, Jiaowan

Publication date: 10 October 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1152487

zbMATH Keywords

stochastic differential equationrate of convergencefractional Brownian motionmodified Euler approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rate of convergence, degree of approximation (41A25)

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