Approximation of the Fractional SDEs with Stochastic Forcing

Abstract

Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found.

Keywords

• stochastic differential equations
• stochastic forcing
• fractional Brownian motion
• implicit Euler scheme
• implicit Milstein scheme
• p-variation