Weak approximation of fractional SDEs: the Donsker setting

Abstract

In this note, we take up the study of weak convergence for stochastic differential equations driven by a (Liouville) fractional Brownian motion $B$ with Hurst parameter $H\in(1/3,1/2)$, initiated in a paper of Bardina et al. . In the current paper, we approximate the $d$-dimensional fBm by the convolution of a rescaled random walk with Liouville's kernel. We then show that the corresponding differential equation converges in law to a fractional SDE driven by $B$.

Locations

• arXiv (Cornell University) - View
• Electronic Communications in Probability - View - PDF