Milstein's type schemes for fractional SDEs

2007/02/12 by Mihai Gradinaru, Gradinaru, Mihai, Ivan Nourdin +1
Mathematics · #60F15 #60G15 #60H05 #60H35 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60F15 #msc:60G15 #msc:60H05 #msc:60H35

paper · pdf · doi:10.48550/arxiv.math/0702317

16 pages. To appear in Ann. Inst. H. Poincaré Probab. Statist

arxiv created 2008/10/23 · arxiv updated 2009/12/01

Abstract

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.

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