Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions (Q2132956): Difference between revisions

Latest revision as of 04:40, 17 December 2024

scientific article

Language	Label	Description	Also known as
English	Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions	scientific article

Statements

instance of

scholarly article

0 references

title

Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions (English)

0 references

0 references

0 references

0 references

0 references

28 April 2022

0 references

zbMATH Keywords

Brownian motion

0 references

fractional Brownian motion

0 references

Euler approximation

0 references

rate of convergence

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.3934/math.2020144

0 references

cites work

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

0 references

Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion

0 references

Modelling and simulation of transient noise in circuit simulation

0 references

Stochastic modeling in nanoscale biophysics: subdiffusion within proteins

0 references

On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

0 references

Mixed fractional Brownian motion

0 references

Mixed stochastic differential equations: existence and uniqueness result

0 references

Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter

0 references

Malliavin regularity of solutions to mixed stochastic differential equations

0 references

Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

0 references

Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions

0 references

Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion

0 references

Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

0 references

Differential equations driven by fractional Brownian motion

0 references

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

0 references

Mixed fractional stochastic differential equations with jumps

0 references

Integration with respect to fractal functions and stochastic calculus. I

0 references

Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index<i>H</i> > 1/2

0 references

A multiparameter Garsia-Rodemich-Rumsey inequality and some applications

0 references

Stochastic integration with respect to the fractional Brownian motion

0 references

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

0 references

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

0 references

Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design

0 references

Robust option replication for a Black-Scholes model extended with nondeterministic trends

0 references

Identifiers

zbMATH Open document ID

1484.65013

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2132956

@@ Property / DOI @@
-.3934/math.2020144
@@ Property / DOI: 10.3934/math.2020144 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.3934/math.2020144
+Normal rank
@@ Property / OpenAlex ID @@
+W3007357064
@@ Property / OpenAlex ID: W3007357064 / rank @@
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Modelling and simulation of transient noise in circuit simulation
+Normal rank
@@ Property / cites work @@
+Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
+Normal rank
@@ Property / cites work @@
+On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Mixed fractional Brownian motion
@@ Property / cites work: Mixed fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed stochastic differential equations: existence and uniqueness result
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter
+Normal rank
@@ Property / cites work @@
+Malliavin regularity of solutions to mixed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
+Normal rank
@@ Property / cites work @@
+Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
+Normal rank
@@ Property / cites work @@
+Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Differential equations driven by fractional Brownian motion
+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 @@
+Mixed fractional stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
+Normal rank
@@ Property / cites work @@
+Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index<i>H</i> &gt; 1/2
+Normal rank
@@ Property / cites work @@
+A multiparameter Garsia-Rodemich-Rumsey inequality and some applications
+Normal rank
@@ Property / cites work @@
+Stochastic integration with respect to the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Malliavin calculus for stochastic differential equations driven by a 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 @@
+Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
+Normal rank
@@ Property / cites work @@
+Robust option replication for a Black-Scholes model extended with nondeterministic trends
+Normal rank
@@ Property / DOI @@
+.3934/MATH.2020144
@@ Property / DOI: 10.3934/MATH.2020144 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2132956