The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods

DOI10.1080/07362994.2015.1055768zbMath1325.60093arXiv1504.07211OpenAlexW1738390741MaRDI QIDQ3194573

Taras Shalaiko, Andreas Neuenkirch

Publication date: 20 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07211

zbMATH Keywords

fractional Brownian motionBrownian motionnumerical methodsstochastic differential equationsrough pathscorrection formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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