An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter

DOI10.1090/S0094-9000-2011-00828-9zbMath1232.60052WikidataQ115283092 ScholiaQ115283092MaRDI QIDQ3114549

O. V. Shvaĭ, Yuliya S. Mishura

Publication date: 19 February 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Unnamed Item ⋮ Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions ⋮ Unnamed Item

Cites Work

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• Differential equations driven by fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Lévy Approximation of Increment Processes with Markov Switching
• Poisson Approximation of Increment Processes with Markov Switching

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