Optimal approximation of SDE's with additive fractional noise
DOI10.1016/J.JCO.2006.02.001zbMATH Open1106.65003OpenAlexW2093161842MaRDI QIDQ2507586FDOQ2507586
Authors: A. Neuenkirch 
Publication date: 5 October 2006
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jco.2006.02.001
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Cited In (29)
- Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
- Milstein's type schemes for fractional SDEs
- Approximation of stochastic differential equation driven by fractional Brownian motion
- A Milstein-based free knot spline approximation for stochastic differential equations
- Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
- Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
- Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Approximation of SDEs: a stochastic sewing approach
- Sharp mean-square regularity results for SPDEs with fractional noise and optimal convergence rates for the numerical approximations
- The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)
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- Estimation and pricing under long-memory stochastic volatility
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
- OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES
- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
- Optimal sampling design for global approximation of jump diffusion stochastic differential equations
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
- Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
- Regularization of multiplicative SDEs through additive noise
- The optimal free knot spline approximation of stochastic differential equations with additive noise
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