Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Discretizing the fractional Lévy area - MaRDI portal

Discretizing the fractional Lévy area (Q2267547)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Discretizing the fractional Lévy area	scientific article

Statements

scholarly article

0 references

Discretizing the fractional Lévy area (English)

0 references

0 references

Andreas Neuenkirch

0 references

Jérémie M. Unterberger

0 references

Stochastic Processes and their Applications

0 references

publication date

1 March 2010

0 references

full work available at URL

https://arxiv.org/abs/0902.0497

0 references

zbMATH Keywords

fractional Brownian motion

0 references

Lévy area

0 references

discretization schemes

0 references

asymptotic error distribution

0 references

MaRDI profile type

MaRDI publication profile

0 references

Operators associated with a stochastic differential equation driven by fractional Brownian motions

0 references

Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes

0 references

Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

0 references

Partial differential equations driven by rough paths

0 references

Non-degeneracy of Wiener functionals arising from rough differential equations

0 references

Stochastic analysis, rough path analysis and fractional Brownian motions.

0 references

Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation

0 references

Multidimensional Stochastic Processes as Rough Paths

0 references

Controlling rough paths

0 references

Milstein's type schemes for fractional SDEs

0 references

Ergodicity of stochastic differential equations driven by fractional Brownian motion

0 references

0 references

A survey of numerical methods for stochastic differential equations

0 references

System Control and Rough Paths

0 references

0 references

The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

0 references

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

0 references

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

0 references

Delay equations driven by rough paths

0 references

A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4

0 references

Central and non-central limit theorems for weighted power variations of fractional Brownian motion

0 references

Central limit theorems for sequences of multiple stochastic integrals

0 references

The rough path associated to the multidimensional analytic fBm with any Hurst parameter

0 references

Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.spa.2009.10.007

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2267547

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2267547&oldid=35153753"