Weak convergence of path-dependent SDEs driven by fractional Brownian motion with irregular coefficients

2019/07/04 by Yongqiang Suo, Chenggui Yuan, Suo, Yongqiang +3
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1907.02293

openalex publication_date 2019/07/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with Hölder continuous drift driven by fractional Brownian motion with Hurst index H∈ (1/2,1).

Citations

• An inequality of the Hölder type, connected with Stieltjes integration
• Weak convergence of path-dependent SDEs with irregular coefficients

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