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math.PR2012
Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Serge Cohen, Fabien Panloup, Samy Tindel
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationar…
math.PR2012★ 106 cited
Smoothness of the density for solutions to Gaussian rough differential equations
Thomas Cass, Martin Hairer, Christian Litterer +1
We consider stochastic differential equations of the form driven by a multi-dimensional Gaussian process. Under the assumption that the vector fiel…