Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

DOI10.1214/15-AAP1114zbMATH Open1339.60095arXiv1408.6471OpenAlexW1660520955MaRDI QIDQ292925FDOQ292925

Authors: Yanghui Liu, David Nualart, Yaozhong Hu 

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: For a stochastic differential equation(SDE) driven by a fractional Brownian motion(fBm) with Hurst parameter $H>frac12$, it is known that the existing (naive) Euler scheme has the rate of convergence $n^{1-2H}$. Since the limit $Hightarrowfrac12$ of the SDE corresponds to a Stratonovich SDE driven by standard Brownian motion, and the naive Euler scheme is the extension of the classical Euler scheme for It^{o} SDEs for $H=frac12$, the convergence rate of the naive Euler scheme deteriorates for $Hightarrowfrac12$. In this paper we introduce a new (modified Euler) approximation scheme which is closer to the classical Euler scheme for Stratonovich SDEs for $H=frac12$, and it has the rate of convergence $gamm{a}_n^{-1}$, where $gamm{a}_n=n^{2H-1/2}$ when $H<frac34$, $gamm{a}_n=n/sqrtlogn$ when $H=frac34$ and $gamm{a}_n=n$ if $H>frac34$. Furthermore, we study the asymptotic behavior of the fluctuations of the error. More precisely, if $X_t,0letleT$ is the solution of a SDE driven by a fBm and if $X_t^n,0letleT$ is its approximation obtained by the new modified Euler scheme, then we prove that $gamm{a}_n(X^n-X)$ converges stably to the solution of a linear SDE driven by a matrix-valued Brownian motion, when $Hin(frac12,frac34]$. In the case $H>frac34$, we show the $L^p$ convergence of $n(X_t^n-X_t)$, and the limiting process is identified as the solution of a linear SDE driven by a matrix-valued Rosenblatt process. The rate of weak convergence is also deduced for this scheme. We also apply our approach to the naive Euler scheme.

Full work available at URL: https://arxiv.org/abs/1408.6471

Recommendations

• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

zbMATH Keywords

Malliavin calculusweak convergencefractional Brownian motionEuler schemestochastic differential equationsfractional calculusfourth moment theorem\(L^{p}\)-convergence

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) (L^p)-limit theorems (60F25)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Differential equations driven by fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Central limit theorems for sequences of multiple stochastic integrals
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Stochastic heat equation driven by fractional noise and local time
• Integration with respect to fractal functions and stochastic calculus. I
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Convergence rates for the full Gaussian rough paths
• An inequality of the Hölder type, connected with Stieltjes integration
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Multidimensional stochastic processes as rough paths. Theory and applications.
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• System Control and Rough Paths
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Integration questions related to fractional Brownian motion
• Analysis of the rosenblatt process
• On mixing and stability of limit theorems
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Discretizing the fractional Lévy area
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Selected Works of Murray Rosenblatt
• Asymptotics of weighted random sums
• Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (42)

• Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• Approximation of SDEs: a stochastic sewing approach
• Taylor schemes for rough differential equations and fractional diffusions
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Weak approximations of stochastic partial differential equations with fractional noise
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• Convergence of trapezoid rule to rough integrals
• Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
• Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
• Asymptotic behavior of the unit root bilinear model with fractional Gaussian noise. Euler's scheme with small perturbations
• Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models
• Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
• Error analysis for approximations to one-dimensional SDEs via the perturbation method
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion
• Asymptotic preserving schemes for SDEs driven by fractional Brownian motion in the averaging regime
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
• Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
• Wong-Zakai approximation and support theorem for 2D and 3D stochastic convective Brinkman-Forchheimer equations
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
• Discrete rough paths and limit theorems
• Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
• Fractional stochastic partial differential equation for random tangent fields on the sphere
• Title not available (Why is that?)

This page was built for publication: Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292925)