Discretizing the fractional Lévy area (Q2267547)

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Language	Label	Description	Also known as
English	Discretizing the fractional Lévy area	scientific article

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scholarly article

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Discretizing the fractional Lévy area (English)

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Andreas Neuenkirch

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Jérémie M. Unterberger

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Stochastic Processes and their Applications

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publication date

1 March 2010

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full work available at URL

https://arxiv.org/abs/0902.0497

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zbMATH Keywords

fractional Brownian motion

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Lévy area

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discretization schemes

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asymptotic error distribution

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MaRDI profile type

MaRDI publication profile

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Operators associated with a stochastic differential equation driven by fractional Brownian motions

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Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes

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Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

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Partial differential equations driven by rough paths

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Non-degeneracy of Wiener functionals arising from rough differential equations

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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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Multidimensional Stochastic Processes as Rough Paths

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Controlling rough paths

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Milstein's type schemes for fractional SDEs

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Ergodicity of stochastic differential equations driven by fractional Brownian motion

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A survey of numerical methods for stochastic differential equations

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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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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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Delay equations driven by rough paths

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A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4

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Central and non-central limit theorems for weighted power variations of fractional Brownian motion

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Central limit theorems for sequences of multiple stochastic integrals

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The rough path associated to the multidimensional analytic fBm with any Hurst parameter

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Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension

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Identifiers

zbMATH Open document ID

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10.1016/j.spa.2009.10.007

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2267547

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