Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients. Issue 2 (23rd July 2020)

• Record Type: Journal Article
• Authors: Suo, Yongqiang; Yuan, Chenggui; Zhang, Shao-Qin
• Is Part Of: Stochastic analysis and applications. Volume 39:Issue 2(2021)
• Page Start: 278
• Page End: 305
• Publication Date: 2020-07-23
• Subjects: Weak solution -- weak convergence -- Hölder continuity drift -- fractional Brownian motion; 60F10 -- 60H10 -- 34K26; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2020.1796706
• Languages: English
• ISSNs: 0736-2994

Abstract

Abstract: In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to stochastic functional differential equations with Hölder continuous drift driven by fractional Brownian motion with Hurst index H ∈ ( 1 / 2, 1 ) .