Taylor schemes for rough differential equations and fractional diffusions
Yaozhong Hu Yanghui Liu David Nualart
In this paper, we study two variations of the time discrete Taylor schemes for rough differential equations and for stochastic differential equations driven by fractional Brownian motions. One is the incomplete Taylor scheme which excludes some terms of an Taylor scheme in its recursive computation so as to reduce the computation time. The other one is to add some deterministic terms to an incomplete Taylor scheme to improve the mean rate of convergence. Almost sure rate of convergence and $L_p$-rate of convergence are obtained for the incomplete Taylor schemes. Almost sure rate is expressed in terms of the Hölder exponents of the driving signals and the $L_p$-rate is expressed by the Hurst parameters. Both the almost sure and the $L_{p}$-convergence rates can be computed explicitly in terms of the parameters and the number of terms included in the incomplete scheme. In this way we can design the best incomplete schemes for the almost sure or the $L_p$-convergence. As in the smooth case, general Taylor schemes are always complicated to deal with. The incomplete Taylor scheme is even more sophisticated to analyze. A new feature of our approach is the explicit expression of the error functions which will be easier to study. Estimates for multiple integrals and formulas for the iterated vector fields are obtained to analyze the error functions and then to obtain the rates of convergence.
keywords: Rough differential equations multiple integrals convergence rate numerical approximation scheme generalized Leibniz rule fractional Brownian motion.

Year of publication

Related Authors

Related Keywords

[Back to Top]