Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
Keywords:
Fractional Brownian Motion, Hurst Parameter, Boundedness, Convergence
Abstract
In this paper, we discuss about the boundedness and convergence analysis of the fractional Brownian motion (FBM) with Hurst parameter H. By the simple analysis and using the mean value theorem for stochastic integrals we conclude that in case of decreasing diffusion function, the solution of FBM is bounded for any H ∈ (0,1). Also, we derive the convergence rate which shows efficiency and accuracy of the computed solutions.Downloads
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Published
2019-03-31
Issue
Section
Research Articles
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