The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods
DOI10.1080/07362994.2015.1055768zbMath1325.60093arXiv1504.07211OpenAlexW1738390741MaRDI QIDQ3194573
Taras Shalaiko, Andreas Neuenkirch
Publication date: 20 October 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.07211
fractional Brownian motionBrownian motionnumerical methodsstochastic differential equationsrough pathscorrection formula
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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