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

Authors: Nahid Jamshidi, Minoo Kamrani 

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

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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

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• Stochastic and multiple Wiener integrals for Gaussian processes
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• 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 (27)

• 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
• Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
• The convergence of exponential Euler method for weighted fractional stochastic equations
• Spectral collocation method for stochastic partial differential equations with fractional Brownian motion
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Title not available (Why is that?)
• 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
• 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
• Title not available (Why is that?)

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