The rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion

Details The rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion The rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion

2007-05-12

arxiv.org/abs/0705.1773v2

Mathematics

Probability

21 pages, (incorrect) weak convergence result removed, to appear in Stochastics

Scientific paper

10.1080/17442500802024892

The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of solutions of pathwise SDEs driven by fBm with Hurst index $H>1/2$ can be estimated by $O(\delta^{2H-1})$ ($\delta$ is the diameter of partition). For discrete-time approximations of Skorohod-type quasilinear equation driven by fBm we prove that the rate of convergence is $O(\delta^H)$.

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