Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

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In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.
32 pages; To appear in Journal of Theoretical Probability

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Probability, 60G18; 60H05; 60H20

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http://salesiana.dossiersoluciones.com/handle/123456789/107371

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0601038
 http://arxiv.org/abs/math/0601038

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arXiv