Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

Serge Cohen, Fabien Panloup and Samy Tindel

Stochastic Processes and their Applications, 2014, vol. 124, issue 3, 1197-1225

Abstract: In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian motion with Hurst parameter H>1/2 and obtain some (functional) convergence properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.

Keywords: Stochastic differential equation; Fractional Brownian motion; Stationary process; Euler scheme (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2013.11.004

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