Milstein's type schemes for fractional SDEs

Details Milstein's type schemes for fractional SDEs Milstein's type schemes for fractional SDEs

2007-02-12

arxiv.org/abs/math/0702317v3

Mathematics

Probability

16 pages. To appear in Ann. Inst. H. Poincar\'e Probab. Statist

Scientific paper

Weighted power variations of fractional Brownian motion B are used to compute
the exact rate of convergence of some approximating schemes associated to
one-dimensional stochastic differential equations (SDEs) driven by B. The limit
of the error between the exact solution and the considered scheme is computed
explicitly.

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