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Displaying similar documents to “Limit theorems and variation properties for fractional derivatives of the local time of a stable process”

Milstein’s type schemes for fractional SDEs

Mihai Gradinaru, Ivan Nourdin (2009)

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

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Weighted power variations of fractional brownian motion are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by . The limit of the error between the exact solution and the considered scheme is computed explicitly.

Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations

Hahn, Marjorie, Umarov, Sabir (2011)

Fractional Calculus and Applied Analysis

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MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf Gorenflo There is a well-known relationship between the Itô stochastic differential equations (SDEs) and the associated partial differential equations called Fokker-Planck equations, also called Kolmogorov equations. The Brownian motion plays the role of the basic driving process for SDEs. This paper provides fractional generalizations of the triple relationship between the driving...