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

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

Andreas Neuenkirch, Ivan Nourdin

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 scheme; Fractional Brownian motion; Euler scheme; Stochastic differential equations; Doss-Sussmann type transformation; Mixing law; Russo-Vallois integrals

Mathematics Subject Classification ID

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

Related Items

Some linear fractional stochastic equations, A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion, Central and non-central limit theorems for weighted power variations of fractional Brownian motion, Multilevel Monte Carlo for stochastic differential equations with additive fractional noise, Controlled differential equations as Young integrals: a simple approach, Trees and asymptotic expansions for fractional stochastic differential equations, Stein's method on Wiener chaos, Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion, Central limit theorems for multiple Skorokhod integrals, Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\), Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion, Milstein's type schemes for fractional SDEs, Discretizing the fractional Lévy area, Correcting Newton-Côtes integrals by Lévy areas, Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion, Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion, HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET, The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion, Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets

Uses Software

• SimEstFBM

Cites Work

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