Consistency and Convergence of the Backward-Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion

Alexander Abreu, Lisandro Fermin, Ernesto Mordecki +1

We study the backward-Euler scheme for a class of stochastic functional differential equations (SFDEs) with memory driven by a fractional Brownian motion with Hurst parameter H > 1…