Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Résumé
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian Motion with Hurst parameter H>1/2 and obtain some (functional) convergences properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|
Loading...