A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

Annales de l'institut Henri Poincare (B) Probability and Statistics

Volumn 48, Issue 2, 2012, Pages 518-550

  Deya, A ^a   Neuenkirch, A ^b   Tindel, S ^a  

^a UNIVERSITÉ HENRI POINCARÉ NANCY 1   (France)

^b University of Koblenz Landau   (Germany)

Author keywords

Approximation schemes; Fractional Brownian motion; L vy area

Indexed keywords

EID: 84874933937     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AIHP392     Document Type: Article

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