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

Neuenkirch, Andreas; NOURDIN, Ivan

doi:10.1007/s10959-007-0083-0

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Article (Scientific journals)

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

Neuenkirch, Andreas; NOURDIN, Ivan

2008 • In Journal of Theoretical Probability, 20 (4), p. 871-899

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/19295

DOI
10.1007/s10959-007-0083-0

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Disciplines :

Mathematics

Author, co-author :

Neuenkirch, Andreas

NOURDIN, Ivan ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit

Language :

English

Title :

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

Publication date :

2008

Journal title :

Journal of Theoretical Probability

ISSN :

0894-9840

eISSN :

1572-9230

Publisher :

Springer, New York, United States - New York

Volume :

Issue :

Pages :

871-899

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBilu :

since 23 December 2014

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