Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions

DOI10.3934/math.2020144zbMath1484.65013OpenAlexW3007357064MaRDI QIDQ2132956

Weiguo Liu, Yan Jiang, Zhi Li

Publication date: 28 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2020144

zbMATH Keywords

rate of convergencefractional Brownian motionBrownian motionEuler approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models ⋮ Unnamed Item ⋮ mu-Brownian motion, dualities, diffusions, transforms, and reproducing kernel Hilbert spaces

Cites Work

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