Approximation of the Fractional SDEs with Stochastic Forcing

被引：0

作者：

Kubilius, Kestutis ^{[1
]}

机构：

[1] Vilnius Univ, Fac Math & Informat, Akademijos G 4, LT-03225 Vilnius, Lithuania

来源：

MATHEMATICS | 2024年 / 12卷 / 24期

关键词：

stochastic differential equations; stochastic forcing; fractional Brownian motion; implicit Euler scheme; implicit Milstein scheme; p-variation; Pearson model; DIFFERENTIAL-EQUATIONS DRIVEN; EULER APPROXIMATION; BROWNIAN-MOTION; CONVERGENCE; SCHEMES; UNIQUENESS; EXISTENCE; MEMORY;

D O I：

10.3390/math12243875

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found.

引用

页数：22

共 26 条

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