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Keywords = implicit Milstein scheme

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22 pages, 351 KiB  
Article
Approximation of the Fractional SDEs with Stochastic Forcing
by Kęstutis Kubilius
Mathematics 2024, 12(24), 3875; https://doi.org/10.3390/math12243875 - 10 Dec 2024
Viewed by 520
Abstract
Using the implicit Euler and Milstein approximation schemes, the conditions for the pathwise convergence rate of these approximations to the solution of the fractional SDEs with stochastic forcing are found. Full article
(This article belongs to the Special Issue Probabilistic Models in Insurance and Finance)
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