Work

The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion

Year: 2026

Type: preprint

Abstract: In this work, different from previous results, the explicit expression of numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion is derived provided the drift coefficient and numerical reference path satisfy some suitable conditions. Then numerical fractional Euler-Lagrange equations for numerical Onsager-Machlup action functional are also obtained. Finally, numerical experiments to illustrate and support the theoretical findings.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.34626

Authors: Liu, Shanqi, Lian, Qiqi, Duan, Jinqiao, Gao, Hongjun

Institutions: Sun Yat-sen University, Great Bay University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

Awards: G2416750410, G2488712091

OpenAlex ID: W7214780930

Cites: 1

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Related to: 10