Euler Scheme for Fractional Delay Stochastic Differential Equations by Rough Paths Techniques
2019
In this note, we study a discrete time approximation for the solution of a class of delayed stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H ∈ (1/2,1). In order to prove convergence, we use rough paths techniques. Theoretical bounds are established and numerical simulations are displayed.
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