Exact rate of convergence of some approximation schemes associated to sdes driven by a fractional brownian motion

Journal of Theoretical Probability

Volumn 20, Issue 4, 2007, Pages 871-899

  Neuenkirch, Andreas ^a   Nourdin, Ivan ^b  

^a GOETHE UNIVERSITY   (Germany)

^b SORBONNE UNIVERSITÉ   (France)

Author keywords

Crank Nicholson scheme; Doss Sussmann type transformation; Euler scheme; Fractional Brownian motion; Mixing law; Russo Vallois integrals; Stochastic differential equations

Indexed keywords

EID: 35548963865     PISSN: 08949840     EISSN: 15729230     Source Type: Journal    
DOI: 10.1007/s10959-007-0083-0     Document Type: Article

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