| Title |
The implicit Euler scheme for FSDEs with stochastic forcing: Existence and uniqueness of the solution |
| Authors |
Kubilius, Kęstutis |
| DOI |
10.3390/math12162436 |
| Full Text |
|
| Is Part of |
Mathematics.. Basel : MDPI. 2024, vol. 12, iss. 16, art. no. 2436, p. [1-18].. eISSN 2227-7390 |
| Keywords [eng] |
stochastic differential equations ; stochastic forcing ; fractional Brownian motion ; implicit Euler scheme ; p-variation ; Pearson model |
| Abstract [eng] |
In this paper, we focus on fractional stochastic differential equations (FSDEs) with a stochastic forcing term, i.e., to FSDE, we add a stochastic forcing term. Using the implicit scheme of Euler’s approximation, the conditions for the existence and uniqueness of the solution of FSDEs with a stochastic forcing term are established. Such equations can be applied to considering FSDEs with a permeable wall. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2024 |
| CC license |
|
