Weak approximation of a fractional SDE |
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| Authors: | X Bardina I Nourdin C Rovira S Tindel |
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| Institution: | 1. Departament de Matemàtiques, Facultat de Ciències, Edifici C, Universitat Autònoma de Barcelona, 08193 Bellaterra, Spain;2. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Boîte courrier 188, 4 Place Jussieu, 75252 Paris Cedex 5, France;3. Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain;4. Institut Élie Cartan Nancy, B.P. 239, 54506 Vandœuvre-lès-Nancy Cedex, France |
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| Abstract: | 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∈(1/3,1/2). More precisely, we resort to the Kac–Stroock type approximation using a Poisson process studied in Bardina et al. (2003) 4] and Delgado and Jolis (2000) 9], and our method of proof relies on the algebraic integration theory introduced by Gubinelli in Gubinelli (2004) 14]. |
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| Keywords: | 60H10 60H05 |
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