The relation between mixed and rough SDEs and its application to numerical methods

Andreas Neuenkirch; Taras Shalaiko

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arXiv · 1504.07211

The relation between mixed and rough SDEs and its application to numerical methods

Andreas Neuenkirch·Taras Shalaiko

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Abstract

We study the relationship between mixed stochastic differential equations and the corresponding rough path equations driven by standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. We establish a correction formula, which relates both types of equations, analogously to the It\=o-Stratonovich correction formula. This correction formula allows to transfer properties, which are established for one type of equation to the other, and we will illustrate this by considering numerical methods for mixed and rough SDEs

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Andreas Neuenkirch, Taras Shalaiko. 2015-04-27. The relation between mixed and rough SDEs and its application to numerical methods. https://arxiv.org/abs/1504.07211

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