Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527387 | Stochastic Processes and their Applications | 2014 | 29 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Serge Cohen, Fabien Panloup, Samy Tindel,