A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
published by Francesco Carlo De Vecchi
in 2020
and research's language is
English
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Abstract in English
Within the rough path framework we prove the continuity of the solution to random differential equations driven by fractional Brownian motion with respect to the Hurst parameter $H$ when $H in (1/3, 1/2]$.