Milstein's type schemes for fractional SDEs (Q985345)
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scientific article
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| English | Milstein's type schemes for fractional SDEs |
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Milstein's type schemes for fractional SDEs (English)
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21 July 2010
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fractional Brownian motion
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weighted power variations
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stochastic differential equation
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Milstein's type scheme
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exact rate of convergence
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0.8505793809890747
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0.843007504940033
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0.8416011333465576
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0.807672381401062
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0.8043625950813293
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