Weak approximation of a fractional SDE

X. Bardina, I. Nourdin, C. Rovira and S. Tindel

Stochastic Processes and their Applications, 2010, vol. 120, issue 1, 39-65

Abstract: In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H[set membership, variant](1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina et al. (2003) [4] and Delgado and Jolis (2000) [9], and our method of proof relies on the algebraic integration theory introduced by Gubinelli in Gubinelli (2004) [14].

Keywords: Weak; approximation; Kac-Stroock; type; approximation; Fractional; Brownian; motion; Rough; paths (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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