Journal article

The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion

Year:

2008

Published in:

Stochastics

Authors:

,

Euler approximations

stochastic differential equations

fractional Brownian motion

fractional white noise

rate of convergence

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

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