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We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$.
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Davies, R., Harte, D., 1987. Tests for Hurst effect. Biometrika 74, 95–101
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Karatzas, I., Shreve, S. E., 1991. Brownian motion and stochastic calculus. 2nd ed. New York etc.: Springer-Verlag
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Cheridito, P., Kawaguchi, H., Maejima, M., 2003. Fractional Ornstein-Uhlenbeck processes. Electron. J. Probab. 8, article 3, 14 pages
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Maslowski, B., Schmalfuss, B., 2004. Random dynamical systems and stationary solutions of differential equations driven by the fractional Brownian motion. Stochastic Anal. Appl. 22 (6), 1577–1607
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Müller-Gronbach, T., Ritter, K., 2008. Minimal errors for strong and weak approximation of stochastic differential equations. In: Monte Carlo and quasi-Monte Carlo methods 2006. Selected papers based on the presentations at the 7th international conference ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Ulm, Germany, August 14–18, 2006. Berlin: Springer, pp. 53–82
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Neuenkirch, A., 2008. Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion. Stochastic Process. Appl. 118 (12), 2294–2333
2008
Schöchtel, G., 2013. Motion of inertial particles in Gaussian fields driven by an infinite-dimensional fractional Brownian motion. Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.)
2013
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Gatheral, J., Jaisson, T., Rosenbaum, M., 2014. Volatility is rough. arXiv:1410.3394
2014
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Bayer, C., Friz, P., Gatheral, J., 2015. Pricing under rough volatility. Quantitative Finance 15, 1–18
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2015
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Neuenkirch, A., Shalaiko, T., 2016. The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. J. Complexity 33, 107–117
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Garrido-Atienza, M. J., Kloeden, P. E., Neuenkirch, A., 2009. Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion. Appl. Math. Optim. 60 (2), 151–172
2009
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2016
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