Article ID Journal Published Year Pages File Type
1157039 Stochastic Processes and their Applications 2007 26 Pages PDF
Abstract

Let XtXt be the pathwise solution of a diffusion driven by a fractional Brownian motion BtH with Hurst constant H>1/2H>1/2 and diffusion coefficient σ(t,x)σ(t,x). Consider the successive increments of this solution, ΔXi=Xi/n−X(i−1)/nΔXi=Xi/n−X(i−1)/n. Using a cylinder approximation for the solution XtXt, our main result yields that if 1/2

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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