TY - JOUR
T1 - Euler Approximation for Non-Autonomous Mixed Stochastic Differential Equations in Besov Norm
AU - Yu , Sihui
AU - Liu , Weiguo
JO - Annals of Applied Mathematics
VL - 4
SP - 426
EP - 441
PY - 2021
DA - 2021/01
SN - 36
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/aam/18591.html
KW - Brownian motion, fractional Brownian motion, Euler approximation, rate of convergence, Besov norm.
AB - <p style="text-align: justify;">We consider a kind of non-autonomous mixed stochastic differential equations driven by standard Brownian motions and fractional Brownian motions
with Hurst index $H ∈ (1/2, 1)$. In the sense of stochastic Besov norm with
index $γ$, we prove that the rate of convergence for Euler approximation is $O(δ^{2H−2γ})$, here $δ$ is the mesh of the partition of $[0, T]$.</p>