Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion
type: Item
instance of: scholarly article
title: Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion
zbMATH Open document ID: 1334.60131
author: Nobuaki Naganuma
published in: Journal of Theoretical Probability
publication date: 2015-12-07T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6516683
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Crank-Nicholson scheme
zbMATH Keywords: weighted Hermite variation
zbMATH Keywords: convergence rate
MaRDI profile type: Publication
full work available at URL: s10959-014-0539-y
OpenAlex ID: W2018046324
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DOI: 10.1007/S10959-014-0539-Y
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description: scientific article; zbMATH DE number 6516683