Editor-in-Chief: Girko, Vyacheslav
Managing Editor: Molchanov, S.
null Accardi, L. / Albeverio, Sergio / Carmona, R. / Casati, G. / Christopeit, N. / Domanski, C. / Drygas, Hilmar / Evstigneev, Igor / Gupta, A.K. / Ibragimov, I. / Kirsch, Werner / Klein, A. / Kondratyev, Yuri / Kurotschka, V. / Leonenko, N. / Loubaton, Philippe / Orsingher, E. / Pastur, L. / Rodrigues, Waldyr A. / Shiryaev, Albert / Turbin, A.F.
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1Department of Probability, Statistics and Actuarial Mathematics, Mechanics and Mathematics Faculty, Kyiv Taras Shevchenko National University, Volodymyrska, 60, 01601 Kyiv, Ukraine.
Citation Information: Random Operators and Stochastic Equations. Volume 19, Issue 4, Pages 387–406, ISSN (Online) 1569-397x, ISSN (Print) 0926-6364, DOI: 10.1515/ROSE.2011.021, December 2011
Publication History:
We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter H > 1/2. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.
Keywords.: Fractional Brownian motion; mixed stochastic differential equation; pathwise integral; Euler approximation
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