Gradinaru, Mihai; Nourdin, Ivan Milstein’s type schemes for fractional SDEs. (English) Zbl 1197.60070 Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 4, 1085-1098 (2009). Summary: Weighted power variations of fractional Brownian motion \(B\) are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations driven by \(B\). The limit of the error between the exact solution and the considered scheme is computed explicitly. Cited in 1 ReviewCited in 20 Documents MSC: 60H35 Computational methods for stochastic equations (aspects of stochastic analysis) 60F15 Strong limit theorems 60G22 Fractional processes, including fractional Brownian motion 60H05 Stochastic integrals Keywords:fractional Brownian motion; weighted power variations; stochastic differential equation; Milstein’s type scheme; exact rate of convergence PDFBibTeX XMLCite \textit{M. Gradinaru} and \textit{I. Nourdin}, Ann. Inst. 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