Euler Approximation for Non-Autonomous Mixed Stochastic Differential Equations in Besov Norm
Cited by
Export citation
- BibTex
- RIS
- TXT
@Article{AAM-36-426,
author = {Yu , Sihui and Liu , Weiguo},
title = {Euler Approximation for Non-Autonomous Mixed Stochastic Differential Equations in Besov Norm},
journal = {Annals of Applied Mathematics},
year = {2021},
volume = {36},
number = {4},
pages = {426--441},
abstract = {
We consider a kind of non-autonomous mixed stochastic differential equations driven by standard Brownian motions and fractional Brownian motions with Hurst index $H ∈ (1/2, 1)$. In the sense of stochastic Besov norm with index $γ$, we prove that the rate of convergence for Euler approximation is $O(δ^{2H−2γ})$, here $δ$ is the mesh of the partition of $[0, T]$.
}, issn = {}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/aam/18591.html} }
TY - JOUR
T1 - Euler Approximation for Non-Autonomous Mixed Stochastic Differential Equations in Besov Norm
AU - Yu , Sihui
AU - Liu , Weiguo
JO - Annals of Applied Mathematics
VL - 4
SP - 426
EP - 441
PY - 2021
DA - 2021/01
SN - 36
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/aam/18591.html
KW - Brownian motion, fractional Brownian motion, Euler approximation, rate of convergence, Besov norm.
AB -
We consider a kind of non-autonomous mixed stochastic differential equations driven by standard Brownian motions and fractional Brownian motions with Hurst index $H ∈ (1/2, 1)$. In the sense of stochastic Besov norm with index $γ$, we prove that the rate of convergence for Euler approximation is $O(δ^{2H−2γ})$, here $δ$ is the mesh of the partition of $[0, T]$.
Sihui Yu & Weiguo Liu. (2021). Euler Approximation for Non-Autonomous Mixed Stochastic Differential Equations in Besov Norm.
Annals of Applied Mathematics. 36 (4).
426-441.
doi:
Copy to clipboard