Journal article

The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion

Year:

2008

Published in:

Stochastics
Euler approximations
stochastic differential equations
fractional Brownian motion
fractional white noise
rate of convergence

The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of solutions of pathwise SDEs driven by fBm with Hurst index 

Other publications by

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2011
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Real Harmonizable Multifractional Stable Process And Its Local Properties

Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Marco Dozzi, Yulia Mishura, Kostiantyn Ral’chenko

2014
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Fractional Brownian Motion In A Nutshell

Publisher: arxiv

Authors: Georgiy Shevchenko

2007
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Approximation Schemes For Stochastic Differential Equations In Hilbert Space

Publisher: Theory of Probability & Its Applications

Authors: Georgiy Shevchenko, Yulia Mishura

2018
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Publisher: arxiv

Authors: Georgiy Shevchenko, Kostiantyn Prontenko, Yulia Mishura

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Publisher: Electronic Journal of Probability

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2021
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Boundary Non‑Crossing Probabilities Of Gaussian Processes: Sharp Bounds And Asymptotics

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Authors: Georgiy Shevchenko, Enkelejd Hashorva, Yulia Mishura

2015
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Asymptotic Behavior Of Mixed Power Variations And Statistical Estimation In Mixed Models

Publisher: Statistical Inference for Stochastic Processes

Authors: Georgiy Shevchenko, Yulia Mishura, Marco Dozzi

2011
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Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Yulia Mishura

2013
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Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Publisher: Statistics & Probability Letters

Authors: Georgiy Shevchenko, Taras Shalaiko

2016
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Stochastic Wave Equation In A Plane Driven By Spatial Stable Noise

Publisher: Modern Stochastics: Theory and Applications

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