Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

Details Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

2011-11-08

arxiv.org/abs/1111.1845v1

Random Oper. Stoch. Equ. 19 (2011), 377-395

Mathematics

Probability

Scientific paper

10.1515/ROSE.2011.021

We consider a mixed stochastic differential equation involving both standard
Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$.
The mean-square rate of convergence of Euler approximations of solution to this
equation is obtained.

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