Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

DOI10.1007/s10959-007-0083-0zbMath1141.60043arXivmath/0601038OpenAlexW2020415232MaRDI QIDQ2471123

Ivan Nourdin, Andreas Neuenkirch

Publication date: 18 February 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0601038

zbMATH Keywords

Crank-Nicolson schemeFractional Brownian motionEuler schemeStochastic differential equationsDoss-Sussmann type transformationMixing lawRusso-Vallois integrals

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Uses Software

• SimEstFBM

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