The maximum rate of convergence for the approximation of the fractional Lévy area at a single point (Q5963454): Difference between revisions

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scientific article; zbMATH DE number 6543132

Language	Label	Description	Also known as
English	The maximum rate of convergence for the approximation of the fractional Lévy area at a single point	scientific article; zbMATH DE number 6543132

Statements

instance of

scholarly article

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title

The maximum rate of convergence for the approximation of the fractional Lévy area at a single point (English)

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Journal of Complexity

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publication date

19 February 2016

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zbMATH Keywords

Lévy area

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optimal approximation

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fractional Brownian motion

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trapezoidal rule

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convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jco.2015.09.008

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cites work

Q5558293

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From Rough Path Estimates to Multilevel Monte Carlo

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Local nondeterminism and local times of Gaussian processes

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Stochastic Calculus for Fractional Brownian Motion and Applications

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Q3218855

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Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation

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A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

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Convergence rates for the full Gaussian rough paths

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Multidimensional Stochastic Processes as Rough Paths

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On contiguity of probability measures corresponding to semimartingales

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Differential equations driven by rough signals

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System Control and Rough Paths

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The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

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Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations

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Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

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Discretizing the fractional Lévy area

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Approximation of random variables by functionals of the increments of a fractional Brownian motion

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Properties of local-nondeterminism of Gaussian and stable random fields and their applications

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An inequality of the Hölder type, connected with Stieltjes integration

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Identifiers

zbMATH Open document ID

1333.65009

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DOI

10.1016/j.jco.2015.09.008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5963454

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jco.2015.09.008
+Normal rank
@@ Property / OpenAlex ID @@
+W2181408532
@@ Property / OpenAlex ID: W2181408532 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5558293
@@ Property / cites work: Q5558293 / rank @@
+Normal rank
@@ Property / cites work @@
+From Rough Path Estimates to Multilevel Monte Carlo
+Normal rank
@@ Property / cites work @@
+Local nondeterminism and local times of Gaussian processes
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+Q3218855
@@ Property / cites work: Q3218855 / rank @@
+Normal rank
@@ Property / cites work @@
+Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
+Normal rank
@@ Property / cites work @@
+A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Convergence rates for the full Gaussian rough paths
+Normal rank
@@ Property / cites work @@
+Multidimensional Stochastic Processes as Rough Paths
+Normal rank
@@ Property / cites work @@
+On contiguity of probability measures corresponding to semimartingales
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
+Normal rank
@@ Property / cites work @@
+System Control and Rough Paths
@@ Property / cites work: System Control and Rough Paths / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Discretizing the fractional Lévy area
@@ Property / cites work: Discretizing the fractional Lévy area / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of random variables by functionals of the increments of a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Properties of local-nondeterminism of Gaussian and stable random fields and their applications
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank