| Title |
Approximation of the fractional SDEs with stochastic forcing / |
| Authors |
Kubilius, Kęstutis |
| DOI |
10.3390/math12243875 |
| Full Text |
|
| Is Part of |
Mathematics: spec. iss.: Probabilistic models in insurance and finance.. Basel : MDPI. 2024, vol. 12, iss. 24, art. no. 3875, p. [1-22].. eISSN 2227-7390 |
| Keywords [eng] |
stochastic differential equations ; stochastic forcing ; fractional Brownian motion ; implicit Euler scheme ; implicit Milstein scheme ; p-variation ; Pearson model |
| Abstract [eng] |
Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2024 |
| CC license |
|
