Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion (Q895913)
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scientific article; zbMATH DE number 6516683
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| English | Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion |
scientific article; zbMATH DE number 6516683 |
Statements
Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion (English)
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7 December 2015
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stochastic differential equations
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fractional Brownian motion
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Crank-Nicholson scheme
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weighted Hermite variation
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convergence rate
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0.9318722
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0.9148722
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0.8997253
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0.8938487
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0.8899213
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0.88916385
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0.8885573
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0.88664997
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