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Error Distribution for One-Dimensional Stochastic Differential Equations Driven By Fractional Brownian Motion

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  • Kento Ueda

    (The University of Tokyo)

Abstract

This paper deals with asymptotic errors, limit theorems for errors between numerical and exact solutions of stochastic differential equations (SDEs) driven by one-dimensional fractional Brownian motion (fBm). The Euler–Maruyama, higher-order Milstein, and Crank–Nicolson schemes are among the most studied numerical schemes for SDE (fSDE) driven by fBm. Most previous studies of asymptotic errors have derived specific asymptotic errors for these schemes as main theorems or their corollaries. Even in the one-dimensional case, the asymptotic error was not determined for the Milstein or the Crank–Nicolson method when the Hurst exponent is less than or equal to 1/3 with a drift term. We obtain a new evaluation method for convergence and asymptotic errors. This evaluation method improves the conditions under which we can prove convergence of the numerical scheme and obtain the asymptotic error under the same conditions. We completely determine the asymptotic error of the Milstein method for arbitrary orders. In addition, we newly determine the asymptotic error of the Crank–Nicolson method for $$1/4

Suggested Citation

  • Kento Ueda, 2025. "Error Distribution for One-Dimensional Stochastic Differential Equations Driven By Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 38(1), pages 1-61, March.
    • Handle: RePEc:spr:jotpro:v:38:y:2025:i:1:d:10.1007_s10959-024-01392-8
    DOI: 10.1007/s10959-024-01392-8
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    References listed on IDEAS

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    1. 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.
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