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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.

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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