Journal article 631 views 181 downloads
Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
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Shao-Qin Zhang
Stochastic Analysis and Applications, Volume: 39, Issue: 2, Pages: 278 - 305
Swansea University Authors:
Yongqiang SUO, Chenggui Yuan
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DOI (Published version): 10.1080/07362994.2020.1796706
Abstract
In this paper, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with H\"older continuous drift driven by fractional Brownian motion with Hurst index $H\in (1/2,1)$. The methods used in this pa...
| Published in: | Stochastic Analysis and Applications |
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| ISSN: | 0736-2994 1532-9356 |
| Published: |
Informa UK Limited
2021
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa57825 |
| Abstract: |
In this paper, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with H\"older continuous drift driven by fractional Brownian motion with Hurst index $H\in (1/2,1)$. The methods used in this paper are Girsanov's transformation and the property of the corresponding reference stochastic differential equations. |
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| Keywords: |
Weak solution; weak convergence; Hölder continuity drift; fractional Brownian motion |
| College: |
Faculty of Science and Engineering |
| Issue: |
2 |
| Start Page: |
278 |
| End Page: |
305 |