First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case

DOI10.1214/17-AAP1374zbMath1467.60042arXiv1703.03625WikidataQ128546083 ScholiaQ128546083MaRDI QIDQ1737956

Samy Tindel, Yanghui Liu

Publication date: 24 April 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.03625

zbMATH Keywords

fractional Brownian motionstochastic differential equationsEuler schemerough pathsasymptotic error distributionsdiscrete sewing lemma

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17) Rough paths (60L20)

Related Items (15)

Skorohod and Stratonovich integrals for controlled processes ⋮ Euler scheme for fractional delay stochastic differential equations by rough paths techniques ⋮ Error analysis for approximations to one-dimensional SDEs via the perturbation method ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel ⋮ Convergence of trapezoid rule to rough integrals ⋮ Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion ⋮ Discrete rough paths and limit theorems ⋮ 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 differential equations with power type nonlinearities ⋮ 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 ⋮ Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises

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