Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients
Probability
2019-07-05 v1
Abstract
In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with H\"older continuous drift driven by fractional Brownian motion with Hurst index .
Keywords
Cite
@article{arxiv.1907.02293,
title = {Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients},
author = {Yongqiang Suo and Chenggui Yuan and shaoqin Zhang},
journal= {arXiv preprint arXiv:1907.02293},
year = {2019}
}
Comments
26 pages