Power variation of multiple fractional integrals
Constantin Tudor, Maria Tudor (2007)
Open Mathematics
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Displaying similar documents to “Linear filtering with fractional Brownian motion in the signal and observation processes.”
Power variation of multiple fractional integrals
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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...