Approximation of the Fractional SDEs with Stochastic Forcing

Kęstutis Kubilius ()
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Kęstutis Kubilius: Faculty of Mathematics and Informatics, Vilnius University, Akademijos g. 4, LT-03225 Vilnius, Lithuania

Mathematics, 2024, vol. 12, issue 24, 1-22

Abstract: Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found.

Keywords: stochastic differential equations; stochastic forcing; fractional Brownian motion; implicit Euler scheme; implicit Milstein scheme; p-variation; Pearson model (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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