The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion
Shanqi Liu, Qiqi Lian, Jinqiao Duan, Hongjun Gao
Source abstract
In this work, different from previous results, the explicit expression of numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion is derived provided the drift coefficient and numerical reference path satisfy some suitable conditions. Then numerical fractional Euler-Lagrange equations for numerical Onsager-Machlup action functional are also obtained. Finally, numerical experiments to illustrate and support the theoretical findings.
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