Within the rough path framework, we prove the continuity of the solution to random differential equations driven by a one dimensional fractional Brownian motion with respect to the Hurst parameter H when H∈(1/3,1/2]
A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion / F.C. De Vecchi, L.M. Giordano, D. Morale, S. Ugolini. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - (2020 Oct 15). [Epub ahead of print] [10.1080/07362994.2020.1830111]
A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
F.C. DE VECCHI
;L.M. Giordano;D. Morale;S. Ugolini
2020
Abstract
Within the rough path framework, we prove the continuity of the solution to random differential equations driven by a one dimensional fractional Brownian motion with respect to the Hurst parameter H when H∈(1/3,1/2]
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