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Elsevier, Stochastic Processes and their Applications, 3(124), p. 1197-1225, 2014

DOI: 10.1016/j.spa.2013.11.004

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Approximation of stationary solutions to SDEs driven by multiplicative fractional noise

Journal article published in 2014 by Serge Cohen, Fabien Panloup, Samy Tindel
This paper is available in a repository.
This paper is available in a repository.

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Abstract

In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian Motion with Hurst parameter H>1/2 and obtain some (functional) convergences properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs.