Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
DOI10.1016/J.SPA.2024.104412zbMATH Open1544.60068MaRDI QIDQ6596211
Samy Tindel, Yanghui Liu, Jorge A. León
Publication date: 2 September 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
fractional Brownian motionstochastic differential equationsEuler schemerough pathsasymptotic error distributionsdiscrete sewing lemma
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)
Cites Work
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- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
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- A Multivariate Faa di Bruno Formula with Applications
- The multivariate Faà di Bruno formula and multivariate Taylor expansions with explicit integral remainder term
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