Journal of the Korean Statistical Society

  • 제33권4호
  • /
  • Pages.459-470
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  • 2004
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  • 1226-3192(pISSN)
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  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

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)
  • 발행 : 2004.12.01
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초록

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.

키워드

참고문헌

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