| Title |
Fractional SDEs with stochastic forcing: Existence, uniqueness, and approximation / |
| Authors |
Kubilius, Kęstutis |
| DOI |
10.15388/namc.2023.28.33508 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2023, vol. 28, iss. 6, p. 1196-1225.. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
stochastic differential equations ; stochastic forcing ; fractional Brownian motion ; Picard iteration ; Vasicek process ; p-variation |
| Abstract [eng] |
In this article, we are interested in fractional stochastic differential equations (FSDEs) with stochastic forcing, i.e., to FSDE we add a stochastic forcing term. The conditions for the existence and uniqueness of solutions of such equations are obtained, and the convergence rate of the implicit Euler approximation scheme for them is established. Such types of equations can be applied to the consideration of FSDEs with a permeable wall. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2023 |
| CC license |
|
