15 - Convergence of weighted power variations of fractional Brownian motion - Ivan NOURDIN

In the first part of the talk, we will study the convergence of some weighted power variations of a fractional Brownian motion B. In the second part, we will apply the results obtained in the first part to compute the exact rate of convergence of some approximating schemes associated to scalar stochastic differential equations driven by B. In particular, we will be able to compute explicitly the limit of the error between the exact solution and the considered scheme. Ivan NOURDIN. Université Paris 6. Bande son disponible au format mp3 Durée : 41 mn