First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case

2017/03/10 by Yanghui Liu, Liu, Yanghui, Samy Tindel +1
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1703.03625

openalex publication_date 2017/03/10 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

In this article, we consider the so-called modified Euler scheme for stochastic differential equations (SDEs) driven by fractional Brownian motions (fBm) with Hurst parameter \frac13\frac12. The current contribution generalizes the modified Euler scheme to the rough case \frac13

Related

• Modified Euler approximation scheme for stochastic differential equations driven by fractional Brownian motions
• Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
• Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
• Exponential Euler method for stiff SDEs driven by fractional Brownian motion
• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises