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Displaying similar documents to “Approximation of the fractional Brownian sheet VIA Ornstein-Uhlenbeck sheet”

A Milstein-type scheme without Lévy area terms for SDEs driven by fractional brownian motion

A. Deya, A. Neuenkirch, S. Tindel (2012)

Annales de l'I.H.P. Probabilités et statistiques

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In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these equations, which is based on a second-order Taylor expansion, where the usual Lévy area terms are replaced by products of increments of the driving fBm. The convergence of our scheme is shown by means of a combination of rough paths techniques and error...

Differential equations driven by fractional Brownian motion.

David Nualart, Aurel Rascanu (2002)

Collectanea Mathematica

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A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.