SFDE
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Related Articles from SNS
Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion via Fractional Calculus Techniques
Announce Type: new Abstract: We study a stochastic functional differential equation (SFDE) with memory driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2. An Euler-type numerical scheme is proposed and analyzed under suitable regularity conditions on the drift and diffusion coefficients using tools from fractional calculus. We prove the convergence of the scheme and derive the corresponding rate in terms of the discretization step.