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Optimal approximation of SDE's with additive fractional noise

2006; Elsevier BV; Volume: 22; Issue: 4 Linguagem: Inglês

10.1016/j.jco.2006.02.001

1090-2708

Andreas Neuenkirch,

Complex Systems and Time Series Analysis

We study pathwise approximation of scalar stochastic differential equations with additive fractional Brownian noise of Hurst parameter H>12, considering the mean square L2-error criterion. By means of the Malliavin calculus we derive the exact rate of convergence of the Euler scheme, also for non-equidistant discretizations. Moreover, we establish a sharp lower error bound that holds for arbitrary methods, which use a fixed number of bounded linear functionals of the driving fractional Brownian motion. The Euler scheme based on a discretization, which reflects the local smoothness properties of the equation, matches this lower error bound up to the factor 1.39.