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Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions
16 references·0 citing·41 second hop
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References

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  • 2010Multidimensional Stochastic Processes as Rough Paths780 cited
  • 1998Integration with respect to fractal functions and stochastic calculus. I589 cited
  • 2007Differential Equations Driven by Rough Paths401 cited
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  • 2010Estimation and pricing under long-memory stochastic volatility109 cited
  • 2008The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion81 cited
  • 2016Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions69 cited
  • 2013Convergence rates for the full Gaussian rough paths56 cited
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  • 20130 A MILSTEIN-TYPE SCHEME WITHOUT LEVY AREA TERMS FOR SDES DRIVEN BY FRACTIONAL BROWNIAN MOTION48 cited
  • 2017Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility46 cited
  • 2016From Rough Path Estimates to Multilevel Monte Carlo43 cited

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2019
First-order Euler scheme for SDEs driven by fractional Brownian motions: The rough case
38 cited
  • 2017Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion35 cited
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