Stochastic Evolution Equations Driven by Fractional Noises
Technical Report,31 Jul 2013,30 Jul 2016
University of Kansas Lawrence United States
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We have introduced a modification of the classical Euler numerical scheme for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter larger than 12. For this new scheme, we have derived a precise rate of convergence to zero or the error and the limit in distribution of the error fluctuations. We have studied time discrete numerical schemes based on Taylor expansions for rough differential equations and for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter larger than 12.
- Statistics and Probability