activity
20132024
most citedRate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

71 citations · 100 across the 13 of their papers we have counts for

collaborators
Showing 2015Show all

2 papers · 1 filter

math.PR2015

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…

math.PR2015★ 1 cited

LAN property for stochastic differential equations with additive fractional noise and continuous time observation

Yanghui Liu, Eulalia Nualart, Samy Tindel

We consider a stochastic differential equation with additive fractional noise with Hurst parameter , and a non-linear drift depending on an unknown parameter. We show the Lo…