Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (Q2471123)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion |
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Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion (English)
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18 February 2008
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Fractional Brownian motion
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Russo-Vallois integrals
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Doss-Sussmann type transformation
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Stochastic differential equations
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Euler scheme
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Crank-Nicolson scheme
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Mixing law
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