Optimal approximation of SDE's with additive fractional noise
Euler schemeexact rate of convergencefractional Brownian motionlower error boundsMalliavin calculuspathwise approximationstochastic differential equation
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
A pathwise approximation of scalar stochastic differential equations (SDEs) with additive fractional Brownian noise of Hurst parameter \(H>1/2\) is considered under the mean square \(L^2\)-error criterion. The Malliavin calculus is used to derive the exact rate of convergence of the Euler scheme for non-equidistant discretizations. Moreover, a sharp lower bound is established for any methods which use a fixed number of bounded linear functionals of the driving fractional Brownian motion. The Euler scheme based on a discretization, which reflects the local smoothness properties of the equation, matches this lower error bound up to the factor 1.39.
- scientific article; zbMATH DE number 5042364
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