Milstein's type schemes for fractional SDEs

Mihai Gradinaru; Ivan Nourdin

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Milstein's type schemes for fractional SDEs

Mihai Gradinaru·Ivan Nourdin

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Abstract

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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Mihai Gradinaru, Ivan Nourdin. 2008-10-23. Milstein's type schemes for fractional SDEs. https://arxiv.org/abs/math/0702317

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