Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
Résumé
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.Téléchargements
Les données sur le téléchargement ne sont pas encore disponible.
Publiée
2019-03-31
Numéro
Rubrique
Articles
Copyright (c) 2019 Boletim da Sociedade Paranaense de Matemática

Ce travail est disponible sous licence Creative Commons Attribution - Pas d'Utilisation Commerciale - Pas de Modification 4.0 International.
When the manuscript is accepted for publication, the authors agree automatically to transfer the copyright to the (SPM).
The journal utilize the Creative Common Attribution (CC-BY 4.0).