EULER APPROXIMATION FOR NONAUTONOMOUS MIXED STOCHASTIC DIFFERENTIAL EQUATIONS IN BESOV NORM  

作　　者：Sihui Yu Weiguo Liu 

机构地区：[1]School of Statistics and Mathematics,Guangdong University of Finance&Economics,Guangzhou 510320,Guangdong,PR China

出　　处：《Annals of Applied Mathematics》2020年第4期426-441,共16页应用数学年刊（英文版）

基　　金：This work was supported by Project of Department of Education of Guangdong Province(No.2018KTSCx072).

摘　　要：We consider a kind of non-autonomous mixed stochastic differential equations driven by standard Brownian motions and fractional Brownian motions with Hurst index H ∈(1/2,1). In the sense of stochastic Besov norm with index γ, we prove that the rate of convergence for Euler approximation is O(δ^(2H-2γ)), here δ is the mesh of the partition of [0,T].

关 键 词：Brownian motion fractional Brownian motion Euler approximation rate of convergence Besov norm 

分 类 号：O211.63[理学—概率论与数理统计]