Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
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DOI: 10.1016/j.spa.2013.11.004
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References listed on IDEAS
- Cohen, Serge & Panloup, Fabien, 2011. "Approximation of stationary solutions of Gaussian driven stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2776-2801.
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Keywords
Stochastic differential equation; Fractional Brownian motion; Stationary process; Euler scheme;All these keywords.
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