Weak and strong discrete-time approximation of fractional SDEs

DOI10.1007/s10986-014-9253-9zbMath1322.60135OpenAlexW2084829984WikidataQ108524135 ScholiaQ108524135MaRDI QIDQ2257577

Bartosz Ziemkiewicz, Adrian Falkowski, Leszek Slominski

Publication date: 25 February 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-014-9253-9

zbMATH Keywords

fractional Brownian motionGaussian processesfractional stochastic differential equationsdiscrete-time approximations

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)

Related Items

SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

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