Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion

Davood Ahmadian; Omid Farkhondeh Rouz

doi:10.5269/bspm.v38i5.38313

Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion

Autores/as

Davood Ahmadian University of Tabriz Faculty of Mathematical Sciences
Omid Farkhondeh Rouz University of Tabriz Faculty of Mathematical Sciences

DOI:

https://doi.org/10.5269/bspm.v38i5.38313

Palabras clave:

Fractional Brownian Motion, Hurst Parameter, Boundedness, Convergence

Resumen

In this paper, we discuss about the boundedness and convergence analysis of the fractional Brownian motion (FBM) with Hurst parameter H. By the simple analysis and using the mean value theorem for stochastic integrals we conclude that in case of decreasing diffusion function, the solution of FBM is bounded for any H âˆˆ (0,1). Also, we derive the convergence rate which shows efficiency and accuracy of the computed solutions.