Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths

DOI10.1080/17442508.2016.1178750zbMath1352.60100OpenAlexW2489935144MaRDI QIDQ2833714

Nobuaki Naganuma

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1178750

zbMATH Keywords

stochastic differential equationfractional Brownian motionGaussian processconvergence rateWong-Zakai approximationrough path

Mathematics Subject Classification ID

Gaussian processes (60G15) 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)

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