شماره ركورد كنفرانس :
4781
عنوان مقاله :
Optimal approximation of stochastic differential equations with fractional Brownian motion
پديدآورندگان :
Kamrani Minoo Department of Mathematics, Razi University, Kermanshah, Iran , Jamshidi Nahid Department of Mathematics, Razi University, Kermanshah, Iran
كليدواژه :
Optimal rate of convergence , fractional Brownian motion , stochastic differential equations.
عنوان كنفرانس :
يازدهمين كنفرانس بين المللي انجمن ايراني تحقيق در عمليات
چكيده فارسي :
We are interested in finding an optimal approximation of stochastic differential equations (SDEs) with fractional Brownian motion (fBm) with Hurst parameter . We present a numerical scheme that obtains the optimal rate of convergence with low computational costs. In addition, we will demonstrate the accuracy of theoretical result by presenting a numerical example.
