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 ...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.展开更多
基金supported by MATH-AmSud 18-MATH-07 SaS MoTiDep ProjectHERMES project 41305+1 种基金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)
文摘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.
