Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion

DOI10.1007/s10959-014-0539-yzbMath1334.60131OpenAlexW2018046324MaRDI QIDQ895913

Nobuaki Naganuma

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-014-0539-y

zbMATH Keywords

fractional Brownian motionstochastic differential equationsconvergence rateCrank-Nicholson schemeweighted Hermite variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Error analysis for approximations to one-dimensional SDEs via the perturbation method ⋮ Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

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