Strong convergence rates for Markovian representations of fractional processes

Understand

Many fractional processes can be represented as an integral over a family of Ornstein-Uhlenbeck processes.

• This representation naturally lends itself to numerical discretizations, which are shown in this paper to have strong convergence rates of arbitrarily high polynomial order.
• This explains the potential, but also some limitations of such representations as the basis of Monte Carlo schemes for fractional volatility models such as the rough Bergomi model.