A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
From MaRDI portal
(Redirected from Publication:424708)
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)
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.
Recommendations
- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions
- Milstein's type schemes for fractional SDEs
- Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
- Approximation of stochastic differential equations driven by fractional Brownian motion
Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2065125 (Why is no real title available?)
- scientific article; zbMATH DE number 797365 (Why is no real title available?)
- A Law of Large Numbers for the Maximum in a Stationary Gaussian Sequence
- A note on Wick products and the fractional Black-Scholes model
- A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one
- Controlling rough paths
- Correcting Newton-Côtes integrals by Lévy areas
- Curvilinear integrals along enriched paths
- Delay equations driven by rough paths
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Differential equations driven by fractional Brownian motion
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- Discretizing the fractional Lévy area
- Ergodic theory for SDEs with extrinsic memory
- Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
- Flow properties of differential equations driven by fractional Brownian motion
- Integration with respect to fractal functions and stochastic calculus. I
- Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations
- Modelling and simulation of transient noise in circuit simulation
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Non-degeneracy of Wiener functionals arising from rough differential equations
- On a functional limit result for increments of a fractional Brownian motion
- On convergence of the uniform norms for Gaussian processes and linear approximation problems
- Operators associated with a stochastic differential equation driven by fractional Brownian motions
- Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Power variation analysis of some integral long-memory processes
- Pricing by hedging and no-arbitrage beyond semimartingales
- Ramification of rough paths
- Rough Volterra equations. II: Convolutional generalized integrals
- Rough evolution equations
- Rough path analysis via fractional calculus
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
- Stock market prices and long-range dependence
- System Control and Rough Paths
- The Malliavin Calculus and Related Topics
- The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
- The rough path associated to the multidimensional analytic fBm with any Hurst parameter
- Trees and asymptotic expansions for fractional stochastic differential equations
Cited in
(61)- On the rough-paths approach to non-commutative stochastic calculus
- Milstein's type schemes for fractional SDEs
- Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2]\)
- Rough path recursions and diffusion approximations
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
- Euler-Maruyama scheme for delay-type stochastic McKean-Vlasov equations driven by fractional Brownian motion
- Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
- An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- The relation between mixed and rough SDEs and its application to numerical methods
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- A dynamical theory for singular stochastic delay differential equations. I: Linear equations and a multiplicative ergodic theorem on fields of Banach spaces
- Local stability of differential equations driven by Hölder-continuous paths with Hölder index in \((1/3,1/2)\)
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
- On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
- Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
- Numerical schemes for rough parabolic equations
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
- Approximation of random variables by functionals of the increments of a fractional Brownian motion
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Wong-Zakai approximations for stochastic Volterra equations
- Lévy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques
- On local linearization method for stochastic differential equations driven by fractional Brownian motion
- Convergence rates for the full Gaussian rough paths
- Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
- Random dynamical systems for stochastic evolution equations driven by multiplicative fractional Brownian noise with Hurst parameters \(H\in(1/3,1/2]\)
- An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
- On the convergence rate of the splitting-up scheme for rough partial differential equations
- On inference for fractional differential equations
- Runge-Kutta methods for rough differential equations
- HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX
- Pathwise convergence of the Euler scheme for rough and stochastic differential equations
- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- From rough path estimates to multilevel Monte Carlo
- Simulation of two-step order 2 implicit strong method for approximating Stratonovich stochastic differential equations
- Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
- Limit error distributions of Milstein scheme for stochastic Volterra equations with singular kernels
- Parameter estimation for rough differential equations
- Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
- Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows
- Solving linear parabolic rough partial differential equations
- Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- Rough Volterra equations. II: Convolutional generalized integrals
- Stochastic modified equations for symplectic methods applied to rough Hamiltonian systems
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
- Global solutions and random dynamical systems for rough evolution equations
- TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS
- Stochastic control with signatures
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
- The maximum rate of convergence for the approximation of the fractional Lévy area at a single point
This page was built for publication: A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424708)
