{
  "id": "math/0601038",
  "version": "v3",
  "published": "2006-01-03T12:36:48.000Z",
  "updated": "2006-11-28T00:44:56.000Z",
  "title": "Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion",
  "authors": [
    "Andreas Neuenkirch",
    "Ivan Nourdin"
  ],
  "comment": "32 pages; To appear in Journal of Theoretical Probability",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2006-11-28T00:44:56.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G18",
      "60H05",
      "60H20"
    ],
    "keywords": [
      "fractional brownian motion",
      "approximation schemes",
      "exact rate",
      "sdes driven",
      "convergence"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 32,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math......1038N"
    }
  }
}