Error analysis for approximations to one-dimensional SDEs via the perturbation method
Abstract
We study asymptotic error distributions associated with standard approximation scheme for one-dimensional stochastic differential equations driven by fractional Brownian motions. This problem was studied by, for instance, Gradinaru-Nourdin [6], Neuenkirch and Nourdin [14] and the second named author [13]. The aim of this paper is to extend their results to the case where the equations contain drift terms and simplify the proof of estimates of the remainder terms in [13]. To this end, we represent the approximation solution as the solution of the equation which is obtained by replacing the fractional Brownian path with a perturbed path. We obtain the asymptotic error distribution as a directional derivative of the solution by using this expression.
Cite
@article{arxiv.1911.11402,
title = {Error analysis for approximations to one-dimensional SDEs via the perturbation method},
author = {Shigeki Aida and Nobuaki Naganuma},
journal= {arXiv preprint arXiv:1911.11402},
year = {2019}
}
Comments
Accepted for publication in Osaka Journal of Mathematics