Milstein’s type schemes for fractional SDEs
نویسندگان
چکیده
منابع مشابه
Milstein’s type schemes for fractional SDEs
E|Bt −Bs| = cp|t− s| , s, t ∈ [0, 1], with cp = E(|G|), G ∼ N (0, 1), and, consequently, almost all sample paths of B are Hölder continuous of any order α ∈ (0,H). The study of stochastic differential equations driven by B has been considered by using several methods. For instance, in [22] one uses fractional calculus of same type as in [25]; in [2] one uses rough paths theory introduced in [11...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2009
ISSN: 0246-0203
DOI: 10.1214/08-aihp196