統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Sataday August 6 2016
Tokyo 123
1:10-2:00 pm


Approximation schemes for stochastic differential equations driven by a fractional Brownian motion


David Nualart
Kansas University

Abstract

In this talk we will discuss numerical approximation schemes for stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H>1/2. We will present a modified Euler scheme, derive bounds for its rate of convergence and study the asymptotic behavior of the fluctuations of the error. These results are obtained using techniques of Malliavin calculus applied to normal approximations.




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Seminar on Probability and Statistics