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In this paper, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H. We consider two cases. If H > 1/2, the exact rate of convergence of the Euler scheme is determined. We show that the error of the Euler scheme converges almost… (More)
We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved by any approximation method using an equidistant discretization of the driving fractional Brownian motion. We find that… (More)
During the seminar, participants presented their current research, and ongoing work and open problems were discussed. Abstracts of the presentations given during the seminar can be found in this report. The first section describes the seminar topics and goals in general. Links to extended abstracts or full papers are provided, if available. This was already… (More)
We present an error analysis for a general semilinear stochastic evolution equation in d dimensions based on pathwise approximation. We discretize in space by a Fourier Galerkin method and in time by a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nodes needed for the noise can be reduced and that the… (More)
In this article, we illustrate the flexibility of the algebraic integration formalism introduced in by establishing an existence and uniqueness result for delay equations driven by rough paths. We then apply our results to the case where the driving path is a fractional Brownian motion with Hurst parameter H > 1 3 .
In this article, we give sharp bounds for the Euler discretization of the Lévy area associated to a d-dimensional fractional Brownian motion. We show that there are three different regimes for the exact root mean square convergence rate of the Euler scheme, depending on the Hurst parameter H ∈ (1/4, 1). For H < 3/4 the exact convergence rate is n −2H+1/2 ,… (More)