Approximation of the Fractional SDEs with Stochastic Forcing

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.

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Publication Details

Journal
Mathematics
Published
2024-12-10
DOI
https://doi.org/10.3390/math12243875
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

Approximation of the Fractional SDEs with Stochastic Forcing

Kęstutis Kubilius
Mathematics
Stochastic processes and financial applications
article

Approximation of the Fractional SDEs with Stochastic Forcing

Kęstutis Kubilius
article en

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.

MathematicsVol. 12(24)
Vilnius University (LT)
Openalex Percentile: Top 69%
Stochastic processes and financial applications
DOIOpen Access PDFOpenAlex
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Approximation of the Fractional SDEs with Stochastic Forcing — Kęstutis Kubilius · Mathematics (2024) | TGRS Research Map | TGRS