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arXiv:math/0601038 [math.PR]AbstractReferencesReviewsResources

Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion

Andreas Neuenkirch, Ivan Nourdin

Published 2006-01-03, updated 2006-11-28Version 3

In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H.

Comments: 32 pages; To appear in Journal of Theoretical Probability
Categories: math.PR
Subjects: 60G18, 60H05, 60H20
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