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).
An Itˆ o formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter
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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).