Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157039 | Stochastic Processes and their Applications | 2007 | 26 Pages |
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
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
José León, Carenne Ludeña,