Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (Q2471123): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Identification of filtered white noises / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for non-linear functionals of Gaussian fields / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design / rank
 
Normal rank
Property / cites work
 
Property / cites work: Power variation of some integral fractional processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4131410 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index / rank
 
Normal rank
Property / cites work
 
Property / cites work: On convergence of the uniform norms for Gaussian processes and linear approximation problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ordinary differential equations with fractal noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3973613 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable Convergence of Certain Functionals of Diffusions Driven by fBm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4319807 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal approximation of SDE's with additive fractional noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correcting Newton-Côtes integrals by Lévy areas / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4842684 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4445186 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differential equations driven by fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4662408 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward, backward and symmetric stochastic integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: An interpretation of stochastic differential equations as ordinary differential equations which depend on the sample point / rank
 
Normal rank
Property / cites work
 
Property / cites work: Resolution trajectorielle et analyse numerique des equations differentielles stochastiques / rank
 
Normal rank

Latest revision as of 16:08, 27 June 2024

scientific article
Language Label Description Also known as
English
Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
scientific article

    Statements

    Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (English)
    0 references
    0 references
    0 references
    18 February 2008
    0 references
    Fractional Brownian motion
    0 references
    Russo-Vallois integrals
    0 references
    Doss-Sussmann type transformation
    0 references
    Stochastic differential equations
    0 references
    Euler scheme
    0 references
    Crank-Nicolson scheme
    0 references
    Mixing law
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers