Probability Seminar
Thursday, April 5, 2012, 4:15pm, at UNC, 130 Hanes Hall
Xiaoming Song (UNC)
Approximation schemes of the solution of a stochastic differential equation driven by fractional Brownian motion.

Abstract:

In this paper, we are concerned the Euler scheme of a multi-dimensional stochastic differential equation driven by fractional Brownian motion with Hurst parameter H>1/2. In the case of one dimension, the exact rate of convergence has been studied by Neuenkirch and Nourdin by using a Doss-Sussmann type representation. However, in the multi-dimensional case, there is no such a representation. We use different technique to obtain the optimal rate of convergence.

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