Weak approximation of a fractional SDE

DOI10.1016/J.SPA.2009.10.008MaRDI QIDQ2654159zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, Ivan Nourdin, Carles Rovira, S. Tindel

Publication date 15 January 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.0805

zbMATH Keywords

fractional Brownian motionKac-Stroock type approximationrough pathsweak approximation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004).

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Cited in

(11)

• Weak and strong discrete-time approximation of fractional SDEs
• Weak approximation of a fractional SDE
• Approximations of fractional stochastic differential equations by means of transport processes
• Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
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