Approximation of stationary solutions to SDEs driven by multiplicative fractional noise |
| |
| Authors: | Serge Cohen Fabien Panloup Samy Tindel |
| |
| Institution: | 1. Institut de Mathématiques de Toulouse (IMT) CNRS UMR 5219, Université Paul Sabatier (UPS) - Toulouse III–Université Toulouse le Mirail - Toulouse II–Université des Sciences Sociales - Toulouse I–Institut National des Sciences Appliquées (INSA), France;2. Institut Élie Cartan Lorraine, Université de Lorraine, B.P. 239, 54506 Vandœuvre-lès-Nancy Cedex, France |
| |
| Abstract: | In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian motion with Hurst parameter H>1/2 and obtain some (functional) convergence properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs. |
| |
| Keywords: | 60G10 60G15 60H35 |
| 本文献已被 ScienceDirect 等数据库收录！ |
