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Asymptotic Error Distributions of the Crank–Nicholson Scheme for SDEs Driven by Fractional Brownian Motion

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  • Nobuaki Naganuma

    (Tohoku University)

Abstract

We investigate the difference between the solution to a stochastic differential equation driven by a fractional Brownian motion and the approximation by the Crank–Nicholson scheme associated with the equation. In preceding results, researchers deal with the errors of the Euler scheme and the Crank–Nicholson scheme for some fixed time as real-valued random variables and study the convergence rates and the limit distributions. In the present paper, we consider the error as stochastic processes and determine the convergence rate of the error and the limit distribution in the Skorohod topology. The limit distribution is expressed in terms of the solution to the equation and the Itô integral with respect to a standard Brownian motion independent of the driving process of the equation. This result extends those contained in J Theor Probab 20(4):871–899, 2007. The key ingredients in our proof are asymptotic behavior of weighted Hermite variations as stochastic processes. We also give the Itô formula for fractional Brownian motion.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:jotpro:v:28:y:2015:i:3:d:10.1007_s10959-014-0539-y
    DOI: 10.1007/s10959-014-0539-y
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    References listed on IDEAS

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    1. Ivan Nourdin & David Nualart, 2010. "Central Limit Theorems for Multiple Skorokhod Integrals," Journal of Theoretical Probability, Springer, vol. 23(1), pages 39-64, March.
    2. Andreas Neuenkirch & Ivan Nourdin, 2007. "Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 20(4), pages 871-899, December.
    3. Nualart, D. & Ortiz-Latorre, S., 2008. "Central limit theorems for multiple stochastic integrals and Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 614-628, April.
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