On local linearization method for stochastic differential equations driven by fractional Brownian motion

Keyphrases

• Stochastic Differential Equations 100%
• Fractional Brownian Motion 100%
• Local Linearization Method 100%
• Numerical Examples 50%
• Convergence Rate 50%
• Drift Term 50%
• Brownian Motion 50%
• Hurst Parameter 50%
• First-order Taylor Expansion 50%
• Linear Stochastic Differential Equations 50%
• Local Fractional 50%
• Non-autonomous Stochastic Differential Equations 50%
• Euler Scheme 50%
• Diffusion Term 50%
• H-1-2 50%

INIS

• differential equations 100%
• stochastic processes 100%
• brownian movement 100%
• solutions 66%
• approximations 66%
• performance 33%
• convergence 33%
• equations 33%
• expansion 33%
• diffusion 33%

Mathematics

• Stochastic Differential Equation 100%
• Fractional Brownian Motion 100%
• Linearization Method 100%
• Approximates 66%
• Numerical Example 33%
• Brownian Motion 33%
• Hurst Parameter 33%
• Original Equation 33%
• Order Taylor Expansion 33%
• Euler Scheme 33%
• Rate of Convergence 33%