A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

DOI10.1214/10-AIHP392zbMATH Open1260.60135arXiv1001.3344MaRDI QIDQ424708FDOQ424708

A. Neuenkirch, A. Deya, S. Tindel

Publication date: 4 June 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these equations, which is based on a second order Taylor expansion, where the usual Levy area terms are replaced by products of increments of the driving fBm. The convergence of our scheme is shown by means of a combination of rough paths techniques and error bounds for the discretisation of the Levy area terms.

Full work available at URL: https://arxiv.org/abs/1001.3344

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zbMATH Keywords

fractional Brownian motionapproximation schemesLévy area

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) 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)

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Cited In (50)

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