Taylor schemes for rough differential equations and fractional diffusions

DOI10.3934/DCDSB.2016090MaRDI QIDQ727475zbMATH OpenOpenAlexFDO

Authors David Nualart, Yanghui Liu, Yaozhong Hu

Publication date 7 December 2016

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.08732

zbMATH Keywords

fractional Brownian motionnumerical approximationstochastic differential equationsmultiple integralsrough differential equationsalmost sure convergence rate\(L^p\)-convergence rategeneralized Leibniz ruleTaylor schemes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) (L^p)-limit theorems (60F25)

Abstract: In this paper, we study two variations of the time discrete Taylor schemes for rough differential equations and for stochastic differential equations driven by fractional Brownian motions. One is the incomplete Taylor scheme which excludes some terms of an Taylor scheme in its recursive computation so as to reduce the computation time. The other one is to add some deterministic terms to an incomplete Taylor scheme to improve the mean rate of convergence. Almost sure rate of convergence and $L_p$-rate of convergence are obtained for the incomplete Taylor schemes. Almost sure rate is expressed in terms of the H"older exponents of the driving signals and the $L_p$-rate is expressed by the Hurst parameters. Both rates involves with the incomplete Taylor scheme in a very explicit way and then provide us with the best incomplete schemes, depending on that one needs the almost sure convergence or one needs $L_p$-convergence. As in the smooth case, general Taylor schemes are always complicated to deal with. The incomplete Taylor scheme is even more sophisticated to analyze. A new feature of our approach is the explicit expression of the error functions which will be easier to study. Estimates for multiple integrals and formulas for the iterated vector fields are obtained to analyze the error functions and then to obtain the rates of convergence.

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Cited in

(6)

• Bivariate generalized Taylor's formula and its applications to solve FPDEs
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
• Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• Convergence of trapezoid rule to rough integrals

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