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Euler approximation for a class of singular multi-dimensional SDEs driven by an additive fractional noise

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In particular, the drift coefficient blows up at 0. We first prove that this equation has a unique positive solution, and then propose a semi-implicit Euler approximation scheme for the equation, and finally show that it is also positive, and study its rate of convergence.

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Nội dung Text: Euler approximation for a class of singular multi-dimensional SDEs driven by an additive fractional noise

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