Milstein's type schemes for fractional SDEs
Probability
2008-10-23 v3
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.
Cite
@article{arxiv.math/0702317,
title = {Milstein's type schemes for fractional SDEs},
author = {Mihai Gradinaru and Ivan Nourdin},
journal= {arXiv preprint arXiv:math/0702317},
year = {2008}
}
Comments
16 pages. To appear in Ann. Inst. H. Poincar\'e Probab. Statist