Weak approximation of a fractional SDE
Résumé
In this note, a diffusion approximation result is shown for stochastic differential equations driven by a fractional Brownian motion B with Hurst parameter H>1/3. We shall use a Gaussian regular approximation of B for sake of clarity, and our method of proof will rely on the algebraic integration theory introduced by Gubinelli.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
---|