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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (2006)

Abstract
In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Publication details
Download http://hal.archives-ouvertes.fr/hal-00016415/en/
Source http://hal.archives-ouvertes.fr/docs/00/08/84/13/PDF/neuenkirch-nourdin2006.pdf
Publisher HAL - CCSd - CNRS
Contributors Ivan Nourdin
Repository CCSd/HAL : e-articles server (based on gBUS) (France)
Keywords Mathematics/Probability
Language Englisch
Coverage Fractional Brownian motion; Russo-Vallois integrals; Doss-Sussmann type transformation; Stochastic differential equations; Euler scheme; Crank-Nicholson scheme; Mixing law