Year: 2020
Author: Sihui Yu, Weiguo Liu
Annals of Applied Mathematics, Vol. 36 (2020), Iss. 4 : pp. 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 $[0, T]$.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2020-AAM-18591
Annals of Applied Mathematics, Vol. 36 (2020), Iss. 4 : pp. 426–441
Published online: 2020-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 16
Keywords: Brownian motion fractional Brownian motion Euler approximation rate of convergence Besov norm.