Alexander Abreu

Consistency and Convergence of the Backward-Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion

We study the backward-Euler scheme for a class of stochastic functional differential equations (SFDEs) with memory driven by a fractional Brownian motion with Hurst parameter H>1/2. We first establish the local consistency of the method, with a local truncation error of order H -$\rho$- $\beta$ + 1, and then, as the ma...