Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
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Publication:2034423
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- Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
- Improved linear multi-step methods for stochastic ordinary differential equations
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- Optimal approximation of SDE's with additive fractional noise
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
- Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
- Stochastic and multiple Wiener integrals for Gaussian processes
- Stochastic differential equations with fractal noise
- The effect of integral conditions in certain equations modelling epidemics and population growth
- The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
Cited in
(29)- scientific article; zbMATH DE number 7781218 (Why is no real title available?)
- Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
- Numerical approximation of stochastic delay differential equations driven by fractional Brownian motion
- Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
- An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion
- A strong uniform approximation of fractional Brownian motion by means of transport processes
- Approximation of stochastic differential equations driven by fractional Brownian motion
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Regularity and strong convergence of numerical approximations for stochastic wave equations with multiplicative fractional Brownian motions
- Spectral collocation method for stochastic partial differential equations with fractional Brownian motion
- Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
- The convergence of exponential Euler method for weighted fractional stochastic equations
- scientific article; zbMATH DE number 5174058 (Why is no real title available?)
- Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques
- The rate of convergence for the Smoluchowski-Kramers approximation for stochastic differential equations with FBM
- On local linearization method for stochastic differential equations driven by fractional Brownian motion
- Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise
- Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
- Regularity analysis for SEEs with multiplicative fBms and strong convergence for a fully discrete scheme
- Numerical study for a stochastic semilinear subdiffusion equation driven by fractional Brownian motions
- An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
- Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
- Error distribution for one-dimensional 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
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions
- Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
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