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

DOI10.1007/s10959-014-0539-yzbMath1334.60131MaRDI QIDQ895913

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

zbMATH Keywords

fractional Brownian motion; stochastic differential equations; convergence rate; Crank-Nicholson scheme; weighted Hermite variation

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H05: Stochastic integrals

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Error analysis for approximations to one-dimensional SDEs via the perturbation method, Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

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