Investigates numerical methods for SDEs with fractional noise, suggesting enhanced convergence rates.
We consider the numerical approximation by means of the Euler scheme of the unique solution to a class of stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) with Hurst parameter H ∈ (1/2, 1) and a Markov switching (MS). We first study the d-dimensional additive case, followed by a one-dimensional equation with multiplicative noise. The strong convergence of the scheme in a finite time interval is studied and a convergence rate is obtained. Some simulations are provided to show the application of the theoretical results.
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Araya et al. (2026) studied this question.
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