Weak approximation of a fractional SDE

Details Weak approximation of a fractional SDE Weak approximation of a fractional SDE

2007-09-06

arxiv.org/abs/0709.0805v2

Mathematics

Probability

32 pages; this is a major revision, with two additional co-authors (X. Bardina and C. Rovira)

Scientific paper

In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004).

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