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

oleh: Weiguo Liu, Yan Jiang, Zhi Li

Format: Article
Diterbitkan: AIMS Press 2020-02-01

Deskripsi

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 $O(\delta^{\frac{1}{2}\wedge(2H-1)})$ in probability, where $\delta$ is the diameter of the partition used for discretization.