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Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion
Published 8 Nov 2011 in math.PR | (1111.1845v1)
Abstract: We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained.
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