Milstein's type schemes for fractional SDEs

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dc.creatorGradinaru, Mihai
dc.creatorNourdin, Ivan
dc.date2007-02-12
dc.date2008-10-23
dc.date.accessioned2026-07-07T10:12:32Z
dc.date.available2026-07-07T10:12:32Z
dc.descriptionWeighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
dc.description16 pages. To appear in Ann. Inst. H. Poincaré Probab. Statist
dc.identifierhttps://arxiv.org/abs/math/0702317
dc.identifierhttp://arxiv.org/abs/math/0702317
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/172212
dc.subjectProbability
dc.subject60F15, 60G15, 60H05, 60H35
dc.titleMilstein's type schemes for fractional SDEs
dc.typetext

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