Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients

被引：0

作者：

Suo, Yongqiang ^{[1
]}

Yuan, Chenggui ^{[1
]}

Zhang, Shao-Qin ^{[2
]}

机构：

[1] Swansea Univ, Dept Math, Bay Campus, Swansea, W Glam, Wales

[2] Cent Univ Finance & Econ, Sch Math & Stat, Beijing 100081, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2021年 / 39卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Weak solution; weak convergence; Holder continuity drift; fractional Brownian motion; STOCHASTIC DIFFERENTIAL-EQUATIONS; EULER APPROXIMATIONS; INEQUALITY; UNIQUENESS; EXISTENCE;

D O I：

10.1080/07362994.2020.1796706

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with Holder continuous drift driven by fractional Brownian motion with Hurst index H is an element of (1/2, 1).

引用

页码：278 / 305

页数：28

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