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Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients

Yongqiang SUO, Chenggui Yuan Orcid Logo, Shao-Qin Zhang

Stochastic Analysis and Applications, Volume: 39, Issue: 2, Pages: 278 - 305

Swansea University Authors: Yongqiang SUO, Chenggui Yuan Orcid Logo

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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...

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Published in: Stochastic Analysis and Applications
ISSN: 0736-2994 1532-9356
Published: Informa UK Limited 2021
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URI: https://cronfa.swan.ac.uk/Record/cronfa57825
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first_indexed 2021-10-04T14:13:17Z
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spelling 2021-10-04T15:13:25.8679752 v2 57825 2021-09-09 Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients c74223802c4c5dabd8da88041356e413 Yongqiang SUO Yongqiang SUO true false 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2021-09-09 SMA 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. Journal Article Stochastic Analysis and Applications 39 2 278 305 Informa UK Limited 0736-2994 1532-9356 Weak solution; weak convergence; Hölder continuity drift; fractional Brownian motion 4 3 2021 2021-03-04 10.1080/07362994.2020.1796706 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2021-10-04T15:13:25.8679752 2021-09-09T08:46:35.2412574 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Yongqiang SUO 1 Chenggui Yuan 0000-0003-0486-5450 2 Shao-Qin Zhang 3 57825__20799__a5e69989cb8546d28f2fa36fe2a3851c.pdf LSAA-RIS.pdf 2021-09-09T08:50:06.0341511 Output 326789 application/pdf Accepted Manuscript true 2021-07-25T00:00:00.0000000 Released under the terms of a Creative Commons Attribution-NonCommercial 4.0 International License true eng https://creativecommons.org/licenses/by-nc/4.0/
title Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
spellingShingle Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
Yongqiang SUO
Chenggui Yuan
title_short Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
title_full Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
title_fullStr Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
title_full_unstemmed Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
title_sort Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
author_id_str_mv c74223802c4c5dabd8da88041356e413
22b571d1cba717a58e526805bd9abea0
author_id_fullname_str_mv c74223802c4c5dabd8da88041356e413_***_Yongqiang SUO
22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan
author Yongqiang SUO
Chenggui Yuan
author2 Yongqiang SUO
Chenggui Yuan
Shao-Qin Zhang
format Journal article
container_title Stochastic Analysis and Applications
container_volume 39
container_issue 2
container_start_page 278
publishDate 2021
institution Swansea University
issn 0736-2994
1532-9356
doi_str_mv 10.1080/07362994.2020.1796706
publisher Informa UK Limited
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 1
active_str 0
description 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.
published_date 2021-03-04T04:13:51Z
_version_ 1763753938672156672
score 11.016235

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