Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion

DOI10.1016/J.APNUM.2021.05.001zbMATH Open1467.65002OpenAlexW3159528788WikidataQ115360330 ScholiaQ115360330MaRDI QIDQ2034423FDOQ2034423

Minoo Kamrani, Nahid Jamshidi

Publication date: 22 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.05.001

zbMATH Keywords

rate of convergencefractional Brownian motionstochastic differential equationsLamperti transformation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Numerical solution of stochastic fractional differential equations
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Optimal approximation of SDE's with additive fractional noise
• The effect of integral conditions in certain equations modelling epidemics and population growth
• Stochastic and multiple Wiener integrals for Gaussian processes
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations with fractal noise
• A singular stochastic differential equation driven by fractional Brownian motion
• Improved linear multi-step methods for stochastic ordinary differential equations
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion

Cited In (3)

• A strong uniform approximation of fractional Brownian motion by means of transport processes
• Title not available (Why is that?)
• Title not available (Why is that?)

This page was built for publication: Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2034423)