Weak approximation of fractional SDEs: the Donsker setting
Work
Year: 2010
Type: article
Abstract: In this note, we take up the study of weak convergence for stochastic differential equations driven by a (Liouville) fractional Brownian motion $B$ with Hurst parameter $H\in(1/3,1/2)$, initiated in a... more
Authors Xavier Bardina, Carles Rovira, Samy Tindel
Institutions Universitat Autònoma de Barcelona, Universitat de Barcelona, Institut Élie Cartan de Lorraine
Cites: 17
Cited by:
Related to: 10
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Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: gold
APC paid (est): $675