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

Andreas Neuenkirch·Ivan Nourdin
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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.

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Andreas Neuenkirch, Ivan Nourdin. 2006-11-28. Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion. https://arxiv.org/abs/math/0601038

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