Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

DOI10.1016/j.spa.2008.01.002zbMath1154.60338arXiv0706.2636OpenAlexW2144342959MaRDI QIDQ2518618

Andreas Neuenkirch

Publication date: 16 January 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.2636

zbMATH Keywords

stochastic differential equationfractional Brownian motionconditional expectationchaos decompositionexact rate of convergenceLamperti transformationMcShane's 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 (13)

Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion ⋮ Approximation of random variables by functionals of the increments of a fractional Brownian motion ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ Multilevel Monte Carlo for stochastic differential equations with additive fractional noise ⋮ Statistical challenges in microrheology ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Discretizing the fractional Lévy area ⋮ Controlled differential equations as Young integrals: a simple approach ⋮ Milstein's type schemes for fractional SDEs ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ The maximum rate of convergence for the approximation of the fractional Lévy area at a single point

Uses Software

• SimEstFBM

Cites Work

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