Optimal approximation of SDE's with additive fractional noise

DOI10.1016/j.jco.2006.02.001zbMath1106.65003OpenAlexW2093161842MaRDI QIDQ2507586

Andreas Neuenkirch

Publication date: 5 October 2006

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2006.02.001

zbMATH Keywords

stochastic differential equationfractional Brownian motionMalliavin calculusEuler schemelower error boundsexact rate of convergencepathwise approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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