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arXiv:1904.03113 [math.PR]AbstractReferencesReviewsResources

Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2

H. Araya, J. A. León, S. Torres

Published 2019-04-05Version 1

In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we apply Doss-Sussmann representation of the solution and an approximation of this representation using a first order Taylor expansion. The obtained rate of convergence is n^(2H+rho), for rho small enough.

Comments: Accepted for publication in Journal of Theoretical Probability
Categories: math.PR
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