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

DOI10.1016/j.spl.2022.109742zbMath1502.65006arXiv2201.06003OpenAlexW4221163361MaRDI QIDQ2112269

Xu Wang, Chuying Huang

Publication date: 10 January 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.06003

zbMATH Keywords

fractional Brownian motionMalliavin calculusEuler schemerough path2D Young integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rough paths (60L20)

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