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Milstein’s type schemes for fractional SDEs. (English) Zbl 1197.60070
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.

##### 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
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##### References:
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