{
  "id": "1904.03113",
  "version": "v1",
  "published": "2019-04-05T15:15:08.000Z",
  "updated": "2019-04-05T15:15:08.000Z",
  "title": "Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2",
  "authors": [
    "H. Araya",
    "J. A. León",
    "S. Torres"
  ],
  "comment": "Accepted for publication in Journal of Theoretical Probability",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-04-05T15:15:08.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "stochastic differential equations driven",
      "fractional brownian motion",
      "numerical scheme",
      "first order taylor expansion",
      "doss-sussmann representation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}