Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions

DOI10.1093/imanum/draa019OpenAlexW2795504476MaRDI QIDQ5077041

Xu Wang, Chuying Huang, Jialin Hong

Publication date: 17 May 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.02907

zbMATH Keywords

fractional Brownian motionRunge-Kutta methodstrong convergence ratesimplified step-\(N\) Euler scheme

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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