Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.

DOI10.1016/j.crma.2005.03.013zbMath1075.60073OpenAlexW1968010056MaRDI QIDQ1780711

Ivan Nourdin

Publication date: 13 June 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2005.03.013

zbMATH Keywords

Euler methodMilstein methodstochastic integral with Hölder function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• SimEstFBM

Cites Work

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• An inequality of the Hölder type, connected with Stieltjes integration
• Long memory in continuous-time stochastic volatility models
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• An interpretation of stochastic differential equations as ordinary differential equations which depend on the sample point