Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion

DOI10.1007/S10959-014-0539-YzbMATH Open1334.60131OpenAlexW2018046324MaRDI QIDQ895913FDOQ895913

Authors: Nobuaki Naganuma 

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-014-0539-y

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zbMATH Keywords

fractional Brownian motionconvergence ratestochastic differential equationsCrank-Nicholson schemeweighted Hermite variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) 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)

Cites Work

• The Malliavin Calculus and Related Topics
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• Convergence rates for the full Gaussian rough paths
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
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• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Title not available (Why is that?)
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Central limit theorems for multiple Skorokhod integrals
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
• A change of variable formula with Itô correction term
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Milstein's type schemes for fractional SDEs
• A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

Cited In (6)

• Title not available (Why is that?)
• Error analysis for approximations to one-dimensional SDEs via the perturbation method
• Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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