Optimal approximation of SDE's with additive fractional noise
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Publication:2507586
Malliavin calculusstochastic differential equationfractional Brownian motionEuler schemelower error boundsexact rate of convergencepathwise approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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Cited in
(32)- Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
- Estimation and pricing under long-memory stochastic volatility
- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
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