Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

preprint2011arXivOpen access

Abstract

We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter H>1/2H>1/2. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.

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