Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions

A kind of time-dependent mixed stochastic differential equations driven by Brownian motions and fractional Brownian motions with Hurst parameter $H>\frac{1}{2}$ is considered. We prove that the rate of convergence of Euler approximation of the solutions can be estimated by $O(\delta^{\frac{1}...

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Bibliographic Details

Published in:	AIMS Mathematics
Main Authors:	Weiguo Liu, Yan Jiang, Zhi Li
Format:	Article
Language:	English
Published:	AIMS Press 2020-02-01
Subjects:	brownian motion fractional brownian motion euler approximation rate of convergence
Online Access:	https://www.aimspress.com/article/10.3934/math.2020144/fulltext.html