Weak approximation of a fractional SDE
Probability
2008-12-09 v2
Abstract
In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004).
Cite
@article{arxiv.0709.0805,
title = {Weak approximation of a fractional SDE},
author = {Xavier Bardina and Ivan Nourdin and Carles Rovira and Samy Tindel},
journal= {arXiv preprint arXiv:0709.0805},
year = {2008}
}
Comments
32 pages; this is a major revision, with two additional co-authors (X. Bardina and C. Rovira)