The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

DOI10.1080/17442500802024892zbMath1154.60046arXiv0705.1773OpenAlexW1965597743MaRDI QIDQ3541206

Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 25 November 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.1773

zbMATH Keywords

rate of convergencefractional Brownian motionstochastic differential equationsEuler approximationsfractional white noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

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Cites Work

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• Integration with respect to fractal functions and stochastic calculus. I
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A General Fractional White Noise Theory And Applications To Finance

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