Accession Number : AD1037543


Title :   Stochastic Evolution Equations Driven by Fractional Noises


Descriptive Note : Technical Report,31 Jul 2013,30 Jul 2016


Corporate Author : University of Kansas Lawrence United States


Personal Author(s) : Nualart,David


Full Text : http://www.dtic.mil/dtic/tr/fulltext/u2/1037543.pdf


Report Date : 28 Nov 2016


Pagination or Media Count : 27


Abstract : We have introduced a modification of the classical Euler numerical scheme for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter larger than 1/2. For this new scheme, we have derived a precise rate of convergence to zero or the error and the limit in distribution of the error fluctuations. We have studied time discrete numerical schemes based on Taylor expansions for rough differential equations and for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter larger than 1/2.


Descriptors :   stochastic processes , Brownian motion , euler equations , gaussian noise


Subject Categories : Statistics and Probability


Distribution Statement : APPROVED FOR PUBLIC RELEASE