Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions
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Publication:2101091
DOI10.1016/j.jde.2022.10.042OpenAlexW4309077439MaRDI QIDQ2101091
Publication date: 28 November 2022
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.11544
fractional Brownian motionoptimal convergence raterough path theorystochastic backward error analysismodified Milstein scheme
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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