Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

被引：8

作者：

Mishura, Yuliya S. ^{[1
]}

Shevchenko, Georgiy M. ^{[1
]}

机构：

[1] Kyiv Taras Shevchenko Natl Univ, Mech & Math Fac, Dept Probabil Stat & Actuarial Math, Volodymyrska 60, UA-01601 Kiev, Ukraine

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2011年 / 19卷 / 04期

关键词：

Fractional Brownian motion; mixed stochastic differential equation; pathwise integral; Euler approximation;

D O I：

10.1515/ROSE.2011.021

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter H > 1/2. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.

引用

页码：387 / 406

页数：20

共 12 条

[1]

[Anonymous], 1995, NUMERICAL INTEGRATIO

[2]

Biagini F, 2008, PROBAB APPL SER, P1

[3] Mixed fractional Brownian motion [J].