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

DOI10.1214/10-AIHP392zbMath1260.60135arXiv1001.3344MaRDI QIDQ424708

Aurélien Deya, Samy Tindel, Andreas Neuenkirch

Publication date: 4 June 2012

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

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

zbMATH Keywords

fractional Brownian motionapproximation schemesLévy area

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

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