Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients

Yongqiang Suo; Chenggui Yuan; shaoqin Zhang

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arXiv · 1907.02293

Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients

Yongqiang Suo·Chenggui Yuan·shaoqin Zhang

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Abstract

In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with H\"older continuous drift driven by fractional Brownian motion with Hurst index $H\in (1/2,1)$.

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Yongqiang Suo, Chenggui Yuan, shaoqin Zhang. 2019-07-04. Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients. https://arxiv.org/abs/1907.02293

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