3 papers
math.PR2023
Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
Yanghui Liu, Xiaohua Wang
In this paper we establish limit theorems for power variations of stochastic processes controlled by fractional Brownian motions with Hurst parameter . We show that the…
math.PR2023
Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
Jorge León, Yanghui Liu, Samy Tindel
In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter . We prove that the corresponding modified Euler…
math.PR2023
Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
Jorge A. León, Yanghui Liu, Samy Tindel
The Malliavin differentiability of a SDE plays a crucial role in the study of density smoothness and ergodicity among others. For Gaussian driven SDEs the differentiability propert…