Milstein's type schemes for fractional SDEs (Q985345): Difference between revisions

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+math/0702317
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+Power variation of some integral fractional processes
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+Stochastic analysis, rough path analysis and fractional Brownian motions.
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+Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
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+Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
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+\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
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+On quadratic variation of processes with Gaussian increments
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+Q3973613
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+Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
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+Stochastic analysis of fractional brownian motions
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+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
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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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+Optimal approximation of SDE's with additive fractional noise
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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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+Central and non-central limit theorems for weighted power variations of fractional Brownian motion
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+Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
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+Q3526634
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+Weighted power variations of iterated Brownian motion
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+Correcting Newton-Côtes integrals by Lévy areas
@@ Property / cites work: Correcting Newton-Côtes integrals by Lévy areas / rank @@
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+Differential equations driven by fractional Brownian motion
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+Forward, backward and symmetric stochastic integration
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+Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
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+Integration with respect to fractal functions and stochastic calculus. I
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