Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion
Work
Year: 2011
Type: article
Abstract: We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter H > 1/2. The mean-square rate of convergence of Euler a... more
Authors Yuliya Mishura, Georgiy Shevchenko
Institution Taras Shevchenko National University of Kyiv
Cites: 15
Cited by: 17
Related to: 10
FWCI: 0.88
Citation percentile (by year/subfield): 91.92
Subfield: Finance
Domain: Social Sciences
Open Access status: green