Session S17 - Stochastic Systems: Analysis, Numerics and Applications

Tuesday, July 13, 14:40 ~ 15:15 UTC-3

Numerical scheme for differential equation driven by fractional Brownian motion with power diffusion

Héctor Araya

Universidad de Valparaíso, Chile   -   This email address is being protected from spambots. You need JavaScript enabled to view it.

We consider the numerical approximation of the unique solution of a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H > 1/2$ and power diffusion.

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