Asymptotic Error Distribution of the Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise

Orimar Sauri

Papers from arXiv.org

Abstract: In this paper we consider the Euler scheme for a class of stochastic delay differential equations driven by a linear fractional $\alpha$-stable L\'evy motion with index $H\in(0,1)$. We establish the consistency of the scheme and study the limit distribution of the normalized error process. We show that in the rough case, i.e. when $H

Date: 2024-02
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