The maximum rate of convergence for the approximation of the fractional Lévy area at a single point

DOI10.1016/j.jco.2015.09.008zbMath1333.65009OpenAlexW2181408532MaRDI QIDQ5963454

Taras Shalaiko, Andreas Neuenkirch

Publication date: 19 February 2016

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2015.09.008

zbMATH Keywords

convergencefractional Brownian motionoptimal approximationLévy areatrapezoidal rule

Mathematics Subject Classification ID

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