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Acta Mathematica Scientia

, Volume 39, Issue 3, pp 747–763 | Cite as

Euler Scheme for Fractional Delay Stochastic Differential Equations by Rough Paths Techniques

  • Johanna Garzón
  • Samy TindelEmail author
  • Soledad Torres
Article
  • 47 Downloads

Abstract

In this note, we study a discrete time approximation for the solution of a class of delayed stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H ∈ (1/2,1). In order to prove convergence, we use rough paths techniques. Theoretical bounds are established and numerical simulations are displayed.

Keywords

Fractional Brownian motion stochastic differential equations rough paths discrete time approximation 

2010 MR Subject Classification

60H15 65C30 

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Copyright information

© Wuhan Institute Physics and Mathematics, Chinese Academy of Sciences 2019

Authors and Affiliations

  1. 1.Departamento de MatemáticasUniversidad Nacional de ColombiaBogotá D.C.Colombia
  2. 2.Department of MathematicsPurdue UniversityW. LafayetteUSA
  3. 3.Facultad de IngenieríaCIMFAV Universidad de ValparaísoValparaisoChile

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