Milstein’s type schemes for fractional SDEs
Gradinaru, Mihai ; Nourdin, Ivan
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 1085-1098 / Harvested from Project Euclid
Weighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Publié le : 2009-11-15
Classification:  Fractional Brownian motion,  Weighted power variations,  Stochastic differential equation,  Milstein’s type scheme,  Exact rate of convergence,  60F15,  60G15,  60H05,  60H35
@article{1257529893,
     author = {Gradinaru, Mihai and Nourdin, Ivan},
     title = {Milstein's type schemes for fractional SDEs},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 1085-1098},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1257529893}
}
Gradinaru, Mihai; Nourdin, Ivan. Milstein’s type schemes for fractional SDEs. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  1085-1098. http://gdmltest.u-ga.fr/item/1257529893/