Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

Abstract

We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.

References in corpus (3)

• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• The rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H>1/2$