Optimal approximation of SDE's with additive fractional noise
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Publication:2507586
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)
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Cited in
(35)- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- Approximation of SDEs: a stochastic sewing approach
- Regularization of multiplicative SDEs through additive noise
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
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- Milstein's type schemes for fractional SDEs
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