Milstein's type schemes for fractional SDEs
Gradinaru, Mihai ; Nourdin, Ivan
Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009), p. 1085-1098 / Harvested from Numdam
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On étudie la vitesse exacte de convergence de certains schémas d'approximation associés à des équations différentielles stochastiques scalaires dirigées par le mouvement brownien fractionnaire B. On utilise le comportement asymptotique des variations à poids de B, et la limite de l'erreur entre la solution et son approximation est calculée de façon explicite.

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 : 2009-01-01
DOI : https://doi.org/10.1214/08-AIHP196
Classification:  60F15,  60G15,  60H05,  60H35 
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     author = {Gradinaru, Mihai and Nourdin, Ivan},
     title = {Milstein's type schemes for fractional SDEs},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {45},
     year = {2009},
     pages = {1085-1098},
     doi = {10.1214/08-AIHP196},
     mrnumber = {2572165},
     zbl = {1197.60070},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2009__45_4_1085_0}
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Gradinaru, Mihai; Nourdin, Ivan. Milstein's type schemes for fractional SDEs. Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009) pp. 1085-1098. doi : 10.1214/08-AIHP196. http://gdmltest.u-ga.fr/item/AIHPB_2009__45_4_1085_0/

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