Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
type: Item
instance of: scholarly article
title: Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
zbMATH Open document ID: 1339.60095
DOI: 10.1214/15-AAP1114
author: Yanghui Liu
author: David Nualart
author: Yaozhong Hu
published in: The Annals of Applied Probability
publication date: 2016-06-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1408.6471
full work available at URL: https://projecteuclid.org/euclid.aoap/1458651830
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60F25
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 26A33
zbMATH DE Number: 6590333
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Euler scheme
zbMATH Keywords: fractional calculus
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: fourth moment theorem
zbMATH Keywords: \(L^{p}\)-convergence
zbMATH Keywords: weak convergence
MaRDI profile type: Publication
arXiv ID: 1408.6471
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OpenAlex ID: W1660520955
description: scientific article; zbMATH DE number 6590333