Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion

DOI10.1016/j.apnum.2021.05.001zbMath1467.65002OpenAlexW3159528788WikidataQ115360330 ScholiaQ115360330MaRDI QIDQ2034423

Minoo Kamrani, Nahid Jamshidi

Publication date: 22 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.05.001

zbMATH Keywords

rate of convergencefractional Brownian motionstochastic differential equationsLamperti transformation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• A singular stochastic differential equation driven by fractional Brownian motion
• Improved linear multi-step methods for stochastic ordinary differential equations
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• The effect of integral conditions in certain equations modelling epidemics and population growth
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stochastic and multiple Wiener integrals for Gaussian processes
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Optimal approximation of SDE's with additive fractional noise
• Numerical solution of stochastic fractional differential equations
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations with fractal noise

This page was built for publication: Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion