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APPROXIMATION OF EVOLUTION EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER 0 < H < 1/2  

KIM, Yoon-Tae (Department of Statistics, Hallym University)
Publication Information
Journal of the Korean Statistical Society / v.34, no.3, 2005 , pp. 197-208 More about this Journal
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
Fractional Brownian motion; Stochastic evolution equation; Space approximation; Spectral representation;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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