Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

Stochastic Processes and their Applications

Volumn 118, Issue 12, 2008, Pages 2294-2333

  Neuenkirch, Andreas ^a  

^a GOETHE UNIVERSITY   (Germany)

Author keywords

Chaos decomposition; Conditional expectation; Exact rate of convergence; Fractional Brownian motion; Lamperti transformation; McShane's scheme; Stochastic differential equation

Indexed keywords

APPROXIMATION THEORY; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; DISPERSIONS; EQUATIONS OF MOTION; MATHEMATICAL TRANSFORMATIONS; MEASUREMENT THEORY; POLYNOMIAL APPROXIMATION; STOCHASTIC CONTROL SYSTEMS;

CHAOS DECOMPOSITION; CONDITIONAL EXPECTATION; EXACT RATE OF CONVERGENCE; FRACTIONAL BROWNIAN MOTION; LAMPERTI TRANSFORMATION; MCSHANE'S SCHEME; STOCHASTIC DIFFERENTIAL EQUATION;

BROWNIAN MOVEMENT;

EID: 55649094460     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.01.002     Document Type: Article

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