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

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dc.creatorNeuenkirch, Andreas
dc.creatorNourdin, Ivan
dc.date2006-01-03
dc.date2006-11-28
dc.date.accessioned2026-07-07T06:58:28Z
dc.date.available2026-07-07T06:58:28Z
dc.descriptionIn 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.
dc.description32 pages; To appear in Journal of Theoretical Probability
dc.identifierhttps://arxiv.org/abs/math/0601038
dc.identifierhttp://arxiv.org/abs/math/0601038
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/107371
dc.subjectProbability
dc.subject60G18; 60H05; 60H20
dc.titleExact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
dc.typetext

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