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arXiv · 2609.34626

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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Shanqi Liu, Qiqi Lian, Jinqiao Duan, Hongjun Gao. 2026-09-28. The Numerical Onsager-Machlup action functional for Euler discretized SDEs driven by fractional Brownian motion. https://arxiv.org/abs/2609.34626

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