Milstein’s type schemes for fractional SDEs
Mihai Gradinaru, Ivan Nourdin (2009)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
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.