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PreprintarXiv licencearXiv

The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion

  • Shanqi Liu
  • Qiqi Lian
  • Jinqiao Duan
  • Hongjun Gao
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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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Cite

BibTeXRIS
BibTeX
@misc{liu2026numerical,
  title = {{The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion}},
  author = {Shanqi Liu and Qiqi Lian and Jinqiao Duan and Hongjun Gao},
  howpublished = {arXiv},
  year = {2026},
  month = sep,
  doi = {10.48550/arxiv.2609.34626},
  eprint = {2609.34626},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2609.34626},
}
RIS
TY  - UNPB
TI  - The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion
AU  - Shanqi Liu
AU  - Qiqi Lian
AU  - Jinqiao Duan
AU  - Hongjun Gao
PY  - 2026
DA  - 2026/09/28
PB  - arXiv
DO  - 10.48550/arxiv.2609.34626
UR  - https://arxiv.org/abs/2609.34626
AB  - 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.
ER  -