Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
DOI10.1214/15-AAP1114zbMath1339.60095arXiv1408.6471OpenAlexW1660520955MaRDI QIDQ292925
David Nualart, Yanghui Liu, Yaozhong Hu
Publication date: 9 June 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.6471
weak convergencefractional Brownian motionMalliavin calculusstochastic differential equationsfractional calculusEuler schemefourth moment theorem\(L^{p}\)-convergence
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) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) (L^p)-limit theorems (60F25)
Related Items (33)
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