A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion

Abstract

Within the rough path framework we prove the continuity of the solution to random differential equations driven by fractional Brownian motion with respect to the Hurst parameter $H$ when $H\in (1/3,1/2]$.

References in corpus (1)

• A fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting