Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
DOI10.1080/03610926.2016.1152487zbMath1395.60063OpenAlexW2476167432MaRDI QIDQ5368783
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
stochastic differential equationrate of convergencefractional Brownian motionmodified Euler approximation
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rate of convergence, degree of approximation (41A25)
Related Items (5)
This page was built for publication: Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion