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

DOI10.1016/J.SPA.2024.104412zbMATH Open1544.60068MaRDI QIDQ6596211FDOQ6596211

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)

Cites Work

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

This page was built for publication: Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6596211)