Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

existence and measurability of the solution of the stochastic differential equations driven by fractional brownian motion

Integral Inequalities for h(x)-Riemann-Liouville Fractional Integrals

In this article, we obtain generalizations for Grüss type integral inequality by using h(x)-Riemann-Liouville fractional integral.

Filtering for Linear Systems Driven by Fractional Brownian Motion

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved by any approximation method using an equidistant discretization of the driving fractional Brownian motion. We find that there are mainly two cases: either th...