Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2006

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

Andreas Neuenkirch
  • Function : Author
  • PersonId : 831682
Department of Mathematics [Darmstadt]
Ivan Nourdin
  • Function : Author
  • PersonId : 831036
Laboratoire de Probabilités et Modèles Aléatoires

Abstract

In 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.

Domains

Probability [math.PR]
Fichier principal
Vignette du fichier
neuenkirch_nourdin_f.pdf (278.54 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Ivan Nourdin  : Connect in order to contact the contributor

https://hal.science/hal-00016415

Submitted on : Monday, November 27, 2006-10:59:53 PM

Last modification on : Friday, April 19, 2024-1:57:37 PM

Long-term archiving on: Thursday, September 23, 2010-3:43:56 PM

Download

Dates and versions

hal-00016415 , version 1 (03-01-2006)
hal-00016415 , version 2 (02-08-2006)
hal-00016415 , version 3 (27-11-2006)

Identifiers

Cite

Andreas Neuenkirch, Ivan Nourdin. Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion. 2006. ⟨hal-00016415v3⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite

Collections

UNIV-PARIS7 UPMC PMA CNRS LPSM SORBONNE-UNIVERSITE SU-SCIENCES
210 View
224 Download

Altmetric

Share

Gmail Facebook X LinkedIn More