Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates

DOI10.1016/J.SPA.2024.104412MaRDI QIDQ6596211zbMATHFDO

Authors Jorge A. Leon, Yanghui Liu, S. Tindel

Publication date 2 September 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionEuler schemestochastic differential equationsrough pathsasymptotic error distributionsdiscrete sewing lemma

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

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Cites work

• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• A Multivariate Faa di Bruno Formula with Applications
• Convergence rates for the full Gaussian rough paths
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Integrability and tail estimates for Gaussian rough differential equations
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Malliavin differentiability of solutions of rough differential equations
• Multidimensional stochastic processes as rough paths. Theory and applications.
• Non-degeneracy of Wiener functionals arising from rough differential equations
• On probability laws of solutions to differential systems driven by a fractional Brownian motion
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Smoothness of the density for solutions to Gaussian rough differential equations
• Taylor schemes for rough differential equations and fractional diffusions
• The Malliavin Calculus and Related Topics
• The multivariate Faà di Bruno formula and multivariate Taylor expansions with explicit integral remainder term

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