Weak approximation of fractional SDES: The Donsker setting

Abstract

In this note, we take up the study of weak convergence for stochastic differential equations driven by a (Liouville) fractional Brownian motion $B$ with Hurst parameter $H\in (1/3,1/2)$. In the current paper, we approximate the $d$-dimensional fBm by the convolution of a rescaled random walk with Liouville's kernel. We then show that the corresponding differential equation converges in law to a fractional SDE driven by $B$.