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

DOI10.1214/10-AIHP392zbMath1260.60135arXiv1001.3344MaRDI QIDQ424708

Aurélien Deya, Samy Tindel, Andreas Neuenkirch

Publication date: 4 June 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3344

zbMATH Keywords

fractional Brownian motionapproximation schemesLévy area

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (43)

HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX ⋮ A Dynamical Theory for Singular Stochastic Delay Differential Equations I: Linear Equations and a Multiplicative Ergodic Theorem on Fields of Banach Spaces ⋮ Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions ⋮ Global Solutions to Rough Differential Equations with Unbounded Vector Fields ⋮ Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ Euler scheme for fractional delay stochastic differential equations by rough paths techniques ⋮ Approximation of random variables by functionals of the increments of a fractional Brownian motion ⋮ The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods ⋮ Global solutions and random dynamical systems for rough evolution equations ⋮ Solving linear parabolic rough partial differential equations ⋮ TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ On the convergence rate of the splitting-up scheme for rough partial differential equations ⋮ On inference for fractional differential equations ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient ⋮ Numerical schemes for rough parabolic equations ⋮ On the rough-paths approach to non-commutative stochastic calculus ⋮ Foreign exchange options on Heston-CIR model under Lévy process framework ⋮ Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions ⋮ Convergence rates for the full Gaussian rough paths ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows ⋮ Parameter estimation for rough differential equations ⋮ First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case ⋮ Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ Rough Volterra equations. II: Convolutional generalized integrals ⋮ Local Stability of Differential Equations Driven by Hölder-Continuous Paths with Hölder Index in (1/3,1/2) ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ The maximum rate of convergence for the approximation of the fractional Lévy area at a single point ⋮ Lévy–Areas of Ornstein–Uhlenbeck Processes in Hilbert–Spaces ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ Random Dynamical Systems for Stochastic Evolution Equations Driven by Multiplicative Fractional Brownian Noise with Hurst Parameters $H{\in} (1/3,1/2$] ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) ⋮ Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion ⋮ Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\). ⋮ Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions ⋮ Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion ⋮ Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2\)] ⋮ Rough path recursions and diffusion approximations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The rough path associated to the multidimensional analytic fBm with any Hurst parameter
• Rough Volterra equations. II: Convolutional generalized integrals
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
• On a functional limit result for increments of a fractional Brownian motion
• Trees and asymptotic expansions for fractional stochastic differential equations
• Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
• Ramification of rough paths
• Curvilinear integrals along enriched paths
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• Delay equations driven by rough paths
• Integration with respect to fractal functions and stochastic calculus. I
• Stock market prices and long-range dependence
• On convergence of the uniform norms for Gaussian processes and linear approximation problems
• Differential equations driven by fractional Brownian motion
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Controlling rough paths
• Discretizing the fractional Lévy area
• Rough evolution equations
• Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
• Pricing by hedging and no-arbitrage beyond semimartingales
• Ergodic theory for SDEs with extrinsic memory
• Correcting Newton-Côtes integrals by Lévy areas
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• A note on Wick products and the fractional Black-Scholes model
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Multidimensional Stochastic Processes as Rough Paths
• Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations
• Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• Modelling and simulation of transient noise in circuit simulation
• Rough path analysis via fractional calculus
• Non-degeneracy of Wiener functionals arising from rough differential equations
• A Law of Large Numbers for the Maximum in a Stationary Gaussian Sequence
• Stochastic integration with respect to the fractional Brownian motion
• System Control and Rough Paths
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

This page was built for publication: A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion