Weak approximation of a fractional SDE
| dc.creator | Bardina, Xavier | |
| dc.creator | Nourdin, Ivan | |
| dc.creator | Rovira, Carles | |
| dc.creator | Tindel, Samy | |
| dc.date | 2007-09-06 | |
| dc.date | 2008-12-09 | |
| dc.date.accessioned | 2026-07-07T12:09:54Z | |
| dc.date.available | 2026-07-07T12:09:54Z | |
| dc.description | In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/2). More precisely, we resort to the Kac-Stroock type approximation using a Poisson process studied in Bardina, Jolis and Tudor (2003) and Delgado and Jolis (2000), and our method of proof relies on the algebraic integration theory introduced by Gubinelli (2004). | |
| dc.description | 32 pages; this is a major revision, with two additional co-authors (X. Bardina and C. Rovira) | |
| dc.identifier | https://arxiv.org/abs/0709.0805 | |
| dc.identifier | http://arxiv.org/abs/0709.0805 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209784 | |
| dc.subject | Probability | |
| dc.subject | 60H10; 60H05 | |
| dc.title | Weak approximation of a fractional SDE | |
| dc.type | text |