Matches in SemOpenAlex for { <https://semopenalex.org/work/W4309077439> ?p ?o ?g. }
- W4309077439 endingPage "351" @default.
- W4309077439 startingPage "325" @default.
- W4309077439 abstract "We develop a new framework for error analysis on stochastic numerical schemes, with the rough path theory and stochastic backward error analysis. Based on our approach, we prove that the almost sure convergence rate of the modified Milstein scheme for stochastic differential equations driven by multiplicative multidimensional fractional Brownian motion with Hurst parameter H∈(14,12) is (2H−12)− for sufficiently smooth coefficients, which is optimal in the sense that it is consistent with the best probable convergence rate of implementable approximations of the Lévy area of fractional Brownian motion. Our result gives a positive answer to the conjecture proposed in [12] for the case H∈(13,12), and reveals for the first time that numerical schemes constructed by a second-order Taylor expansion converge for the case H∈(14,13]." @default.
- W4309077439 created "2022-11-21" @default.
- W4309077439 creator A5058242793 @default.
- W4309077439 date "2023-01-01" @default.
- W4309077439 modified "2023-09-24" @default.
- W4309077439 title "Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions" @default.
- W4309077439 cites W1587029759 @default.
- W4309077439 cites W1660520955 @default.
- W4309077439 cites W1986974679 @default.
- W4309077439 cites W2004095444 @default.
- W4309077439 cites W2009646458 @default.
- W4309077439 cites W2026439664 @default.
- W4309077439 cites W2031753087 @default.
- W4309077439 cites W2048920969 @default.
- W4309077439 cites W2050959157 @default.
- W4309077439 cites W2057112986 @default.
- W4309077439 cites W2084807853 @default.
- W4309077439 cites W2093920319 @default.
- W4309077439 cites W2094034395 @default.
- W4309077439 cites W2132548075 @default.
- W4309077439 cites W2136516258 @default.
- W4309077439 cites W2143772503 @default.
- W4309077439 cites W2164042891 @default.
- W4309077439 cites W2170649762 @default.
- W4309077439 cites W2606805547 @default.
- W4309077439 cites W2607108946 @default.
- W4309077439 cites W2795504476 @default.
- W4309077439 cites W2921421400 @default.
- W4309077439 cites W2962818043 @default.
- W4309077439 cites W2963562494 @default.
- W4309077439 cites W2963763691 @default.
- W4309077439 cites W2964017799 @default.
- W4309077439 cites W2964047059 @default.
- W4309077439 cites W2990115008 @default.
- W4309077439 cites W3098490315 @default.
- W4309077439 cites W3098677150 @default.
- W4309077439 cites W3101151607 @default.
- W4309077439 cites W3104456197 @default.
- W4309077439 cites W3105105116 @default.
- W4309077439 cites W3136021204 @default.
- W4309077439 cites W48692188 @default.
- W4309077439 cites W617501864 @default.
- W4309077439 doi "https://doi.org/10.1016/j.jde.2022.10.042" @default.
- W4309077439 hasPublicationYear "2023" @default.
- W4309077439 type Work @default.
- W4309077439 citedByCount "1" @default.
- W4309077439 countsByYear W43090774392023 @default.
- W4309077439 crossrefType "journal-article" @default.
- W4309077439 hasAuthorship W4309077439A5058242793 @default.
- W4309077439 hasBestOaLocation W43090774392 @default.
- W4309077439 hasConcept C105795698 @default.
- W4309077439 hasConcept C108819105 @default.
- W4309077439 hasConcept C112401455 @default.
- W4309077439 hasConcept C119599485 @default.
- W4309077439 hasConcept C127162648 @default.
- W4309077439 hasConcept C127413603 @default.
- W4309077439 hasConcept C134306372 @default.
- W4309077439 hasConcept C162324750 @default.
- W4309077439 hasConcept C2777303404 @default.
- W4309077439 hasConcept C28826006 @default.
- W4309077439 hasConcept C33923547 @default.
- W4309077439 hasConcept C38652104 @default.
- W4309077439 hasConcept C41008148 @default.
- W4309077439 hasConcept C42747912 @default.
- W4309077439 hasConcept C50522688 @default.
- W4309077439 hasConcept C51955184 @default.
- W4309077439 hasConcept C57869625 @default.
- W4309077439 hasConcept C57945734 @default.
- W4309077439 hasConcept C76178495 @default.
- W4309077439 hasConcept C96835011 @default.
- W4309077439 hasConceptScore W4309077439C105795698 @default.
- W4309077439 hasConceptScore W4309077439C108819105 @default.
- W4309077439 hasConceptScore W4309077439C112401455 @default.
- W4309077439 hasConceptScore W4309077439C119599485 @default.
- W4309077439 hasConceptScore W4309077439C127162648 @default.
- W4309077439 hasConceptScore W4309077439C127413603 @default.
- W4309077439 hasConceptScore W4309077439C134306372 @default.
- W4309077439 hasConceptScore W4309077439C162324750 @default.
- W4309077439 hasConceptScore W4309077439C2777303404 @default.
- W4309077439 hasConceptScore W4309077439C28826006 @default.
- W4309077439 hasConceptScore W4309077439C33923547 @default.
- W4309077439 hasConceptScore W4309077439C38652104 @default.
- W4309077439 hasConceptScore W4309077439C41008148 @default.
- W4309077439 hasConceptScore W4309077439C42747912 @default.
- W4309077439 hasConceptScore W4309077439C50522688 @default.
- W4309077439 hasConceptScore W4309077439C51955184 @default.
- W4309077439 hasConceptScore W4309077439C57869625 @default.
- W4309077439 hasConceptScore W4309077439C57945734 @default.
- W4309077439 hasConceptScore W4309077439C76178495 @default.
- W4309077439 hasConceptScore W4309077439C96835011 @default.
- W4309077439 hasLocation W43090774391 @default.
- W4309077439 hasLocation W43090774392 @default.
- W4309077439 hasOpenAccess W4309077439 @default.
- W4309077439 hasPrimaryLocation W43090774391 @default.
- W4309077439 hasRelatedWork W106483033 @default.
- W4309077439 hasRelatedWork W1965597743 @default.
- W4309077439 hasRelatedWork W2751287829 @default.
- W4309077439 hasRelatedWork W2952974115 @default.