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Approximation of the Fractional SDEs with Stochastic Forcing

Author

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  • Kęstutis Kubilius

    (Faculty of Mathematics and Informatics, Vilnius University, Akademijos g. 4, LT-03225 Vilnius, Lithuania)

Abstract

Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found.

Suggested Citation

  • Kęstutis Kubilius, 2024. "Approximation of the Fractional SDEs with Stochastic Forcing," Mathematics, MDPI, vol. 12(24), pages 1-22, December.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:24:p:3875-:d:1540061
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