Modified Split-Step Theta Method for Stochastic Differential Equations Driven by Fractional Brownian Motion
Modified Split-Step Theta Method for Stochastic Differential Equations Driven by Fractional Brownian Motion
For solving the stochastic differential equations driven by fractional Brownian motion, we present the modified split-step theta method by combining truncated Euler-Maruyama method with split-step theta method.For the problem under a locally Lipschitz condition and a linear growth condition, we analyze the strong convergence and the exponential stability of the …