An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter
Анотація
We consider a stochastic differential equation with a diffusion coefficient involving an additional process viewed as a parameter. Given a rate of convergence of the Euler approximations for this parameter, we find the mean square rate of convergence of the Euler approximation scheme. An example is considered where the parameter is driven by a fractional Brownian motion.
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