@article{ECP1561,
author = {Xavier Bardina and Carles Rovira and Samy Tindel},
title = {Weak approximation of fractional SDEs: the Donsker setting},
journal = {Electron. Commun. Probab.},
fjournal = {Electronic Communications in Probability},
volume = {15},
year = {2010},
keywords = {Weak approximation, Kac-Stroock type approximation, fractional Brownian motion, rough paths},
abstract = {In this note, we take up the study of weak convergence for stochastic differential equations driven by a (Liouville) fractional Brownian motion $B$ with Hurst parameter $H∈ (1/3,1/2)$, initiated in a paper of Bardina et al. (2010, MR2565851). In the current paper, we approximate the $d$-dimensional fBm by the convolution of a rescaled random walk with Liouville's kernel. We then show that the corresponding differential equation converges in law to a fractional SDE driven by $B$.},
pages = {no. 30, 314-329},
issn = {1083-589X},
doi = {10.1214/ECP.v15-1561},
url = {http://ecp.ejpecp.org/article/view/1561}}