Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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APPROXIMATION OF THE SOLUTION OF STOCHASTIC EVOLUTION EQUATION WITH FRACTIONAL BROWNIAN MOTION

  • Kim, Yoon-Tae (Department of Statistics, Hallym University) ;
  • Rhee, Joon-Hee (Department of Business and Adminstration, Soongsil University)
  • Published : 2004.12.01
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Abstract

We study the approximation of the solution of linear stochastic evolution equations driven by infinite-dimensional fractional Brownian motion with Hurst parameter H > 1/2 through discretization of space and time. The rate of convergence of an approximation for Euler scheme is established.

Keywords

References

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