Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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APPROXIMATION OF EVOLUTION EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER 0 < H < 1/2

  • Published : 2005.09.01
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Abstract

We consider the problem for approximate solution of linear stochastic evolution equations driven by infinite-dimensional fractional Brownian motion with Hurst parameter $H\;\in$ (0,1/2). The error of the approximate solution for the explicit Euler scheme is investigated.

Keywords

References

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