Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions

DOI10.1016/j.jde.2022.10.042OpenAlexW4309077439MaRDI QIDQ2101091

Chuying Huang

Publication date: 28 November 2022

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.11544

zbMATH Keywords

fractional Brownian motionoptimal convergence raterough path theorystochastic backward error analysismodified Milstein scheme

Mathematics Subject Classification ID

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

Related Items (1)

Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises

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