Numerical method and convergence proof for WIS-interpreted SDEs with fBM valid for all H in (0,1), with explicit translation operator and observed rates min(H+1/2,1).
The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.NA 1years
2024 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Numerical approximation of SDEs driven by fractional Brownian motion for all $H\in(0,1)$ using WIS integration
Numerical method and convergence proof for WIS-interpreted SDEs with fBM valid for all H in (0,1), with explicit translation operator and observed rates min(H+1/2,1).