Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation

DOI10.1017/prm.2020.60OpenAlexW3082382991WikidataQ115337086 ScholiaQ115337086MaRDI QIDQ5001562

Chenggui Yuan, Shao-Qin Zhang

Publication date: 22 July 2021

Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.11382

zbMATH Keywords

fractional Brownian motionimplicit Euler schemeinterest rate modelslocally Lipschitz driftoptimal strong convergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (5)

Sandwiched SDEs with unbounded drift driven by Hölder noises ⋮ Towards a better understanding of fractional Brownian motion and its application to finance ⋮ Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient ⋮ On the analysis of Ait-Sahalia-type model for rough volatility modelling ⋮ Unnamed Item

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