Journal article
The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion
Year:
2008Published in:
StochasticsEuler 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