1 citations · 2 across the 2 of their papers we have counts for
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Discretizing the fractional Levy area
Andreas Neuenkirch, Samy Tindel, Jérémie Unterberger
In this article, we give sharp bounds for the Euler- and trapezoidal discretization of the Levy area associated to a d-dimensional fractional Brownian motion. We show that there ar…
Delay equations driven by rough paths
Andreas Neuenkirch, Ivan Nourdin, Samy Tindel
In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for dela…
Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
Andreas Neuenkirch, Ivan Nourdin
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 w…