Accessible Requires Authentication Published by De Gruyter December 1, 2011

Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

Yuliya S. Mishura and Georgiy M. Shevchenko
From the journal

Abstract

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.

Received: 2010-09-28
Accepted: 2011-02-12
Published Online: 2011-December
Published in Print: 2011-December

de Gruyter 2011