摘要
In this note, we study a discrete time approximation for the solution of a class of delayed stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H ∈(1/2,1). In order to prove convergence, we use rough paths techniques. Theoretical bounds are established and numerical simulations are displayed.
In this note, we study a discrete time approximation for the solution of a class of delayed stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H ∈(1/2, 1). In order to prove convergence, we use rough paths techniques.Theoretical bounds are established and numerical simulations are displayed.
基金
supported by MATH-AmSud 18-MATH-07 SaS MoTiDep Project
HERMES project 41305
partially supported by the Project ECOS-CONICYT C15E05,REDES 150038,MATH-AmSud 18-MATH-07 SaS MoTiDep Project and Fondecyt(1171335)
supported by NSF(Grant DMS-1613163)
