Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients

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 Hölder continuous drift driven by fractional Brownian motion with Hurst index $H\in (1/2,1)$.

26 pages

References in corpus (2)

• Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
• Approximation of fractional Brownian motion by martingales