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

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

2006-01-03

arxiv.org/abs/math/0601038v3

Mathematics

Probability

32 pages; To appear in Journal of Theoretical Probability

Scientific paper

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.

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