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arXiv · 0709.0805

Weak approximation of a fractional SDE

Xavier Bardina·Ivan Nourdin·Carles Rovira·Samy Tindel
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Abstract

In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004).

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Xavier Bardina, Ivan Nourdin, Carles Rovira, Samy Tindel. 2008-12-09. Weak approximation of a fractional SDE. https://arxiv.org/abs/0709.0805

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