Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion
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DOI: 10.1007/s10959-007-0083-0
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References listed on IDEAS
- Benassi, Albert & Cohen, Serge & Istas, Jacques & Jaffard, Stéphane, 1998. "Identification of filtered white noises," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 31-49, June.
- Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
- Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
- Nourdin, Ivan & Simon, Thomas, 2006. "On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 76(9), pages 907-912, May.
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Cited by:
- Ivan Nourdin & David Nualart, 2010. "Central Limit Theorems for Multiple Skorokhod Integrals," Journal of Theoretical Probability, Springer, vol. 23(1), pages 39-64, March.
- Orimar Sauri, 2024. "Asymptotic Error Distribution of the Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise," Papers 2402.08513, arXiv.org.
- Nicholas Ma & David Nualart, 2020. "Rate of Convergence for the Weighted Hermite Variations of the Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 33(4), pages 1919-1947, December.
- Héctor Araya & Jorge A. León & Soledad Torres, 2020. "Numerical Scheme for Stochastic Differential Equations Driven by Fractional Brownian Motion with $$ 1/4," Journal of Theoretical Probability, Springer, vol. 33(3), pages 1211-1237, September.
- Nobuaki Naganuma, 2015. "Asymptotic Error Distributions of the Crank–Nicholson Scheme for SDEs Driven by Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1082-1124, September.
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Keywords
Fractional Brownian motion; Russo-Vallois integrals; Doss-Sussmann type transformation; Stochastic differential equations; Euler scheme; Crank-Nicholson scheme; Mixing law;All these keywords.
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