Weak approximation of a fractional SDE - Archive ouverte HAL
Article Dans Une Revue Stochastic Processes and their Applications Année : 2010

Weak approximation of a fractional SDE

Résumé

In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004).
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Dates et versions

hal-00170074 , version 1 (06-09-2007)
hal-00170074 , version 2 (09-12-2008)

Identifiants

Citer

Xavier Bardina, Ivan Nourdin, Carles Rovira, Samy Tindel. Weak approximation of a fractional SDE. Stochastic Processes and their Applications, 2010, 120 (1), pp.39-65. ⟨10.1016/j.spa.2009.10.008⟩. ⟨hal-00170074v2⟩
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