Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Probability
2013-11-20 v2
Abstract
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian Motion with Hurst parameter H>1/2 and obtain some (functional) convergences properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.
Keywords
Cite
@article{arxiv.1211.4813,
title = {Approximation of stationary solutions to SDEs driven by multiplicative fractional noise},
author = {Serge Cohen and Fabien Panloup and Samy Tindel},
journal= {arXiv preprint arXiv:1211.4813},
year = {2013}
}
Comments
To appear in Stochastic Processes and their Applications