Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

zbMath1476.60075arXiv1709.01614MaRDI QIDQ2240822

David Nualart, Yanghui Liu, Yaozhong Hu

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.01614

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Wong-Zakai approximation and support theorem for 2D and 3D stochastic convective Brinkman-Forchheimer equations ⋮ Convergence of trapezoid rule to rough integrals ⋮ Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions

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