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

Yulia Mishura; Georgiy Shevchenko

doi:10.1515/rose.2011.021

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arXiv · 1111.1845

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

Yulia Mishura·Georgiy Shevchenko

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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.

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Yulia Mishura, Georgiy Shevchenko. 2011-11-08. Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion. https://doi.org/10.1515/rose.2011.021

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