KMS Of Academy of mathematics and systems sciences, CAS
| Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions | |
| Hong, Jialin; Huang, Chuying1; Wang, Xu | |
| 2021-04-01 | |
| Source Publication | IMA JOURNAL OF NUMERICAL ANALYSIS
 |
| ISSN | 0272-4979 |
| Volume | 41Issue:2Pages:1608-1638 |
| Abstract | This paper investigates numerical schemes for stochastic differential equations driven by multi-dimensional fractional Brownian motions (fBms) with Hurst parameter H is an element of 1/2, 1). Based on the continuous dependence of numerical solutions on the driving noises, we propose the order conditions of Runge-Kutta methods for the strong convergence rate 2H - 1/2, which is the optimal strong convergence rate for approximating the Levy area of fBms. We provide an alternative way to analyse the convergence rate of explicit schemes by adding 'stage values' such that the schemes are interpreted as Runge-Kutta methods. Taking advantage of this technique the strong convergence rate of simplified step-N Euler schemes is obtained, which gives an answer to a conjecture in Deya et al. (2012) when H is an element of 1/2, 1). Numerical experiments verify the theoretical convergence rate. |
| Keyword | fractional Brownian motion strong convergence rate Runge-Kutta method simplified step-N Euler scheme |
| DOI | 10.1093/imanum/draa019 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[11971470] ; National Natural Science Foundation of China[11871068] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000651815700026 |
| Publisher | OXFORD UNIV PRESS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/58702 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Huang, Chuying |
| Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| Recommended Citation GB/T 7714 | Hong, Jialin,Huang, Chuying,Wang, Xu. Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions[J]. IMA JOURNAL OF NUMERICAL ANALYSIS,2021,41(2):1608-1638. |
| APA | Hong, Jialin,Huang, Chuying,&Wang, Xu.(2021).Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions.IMA JOURNAL OF NUMERICAL ANALYSIS,41(2),1608-1638. |
| MLA | Hong, Jialin,et al."Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions".IMA JOURNAL OF NUMERICAL ANALYSIS 41.2(2021):1608-1638. |
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