RATE OF CONVERGENCE OF EULER APPROXIMATIONS OF SOLUTION TO MIXED STOCHASTIC DIFFERENTIAL EQUATION INVOLVING BROWNIAN MOTION AND FRACTIONAL BROWNIAN MOTION
Анотація
We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter H > 1/2. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.
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