Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions

For a stochastic differential equation(SDE) driven by a fractional Brownian motion(fBm) with Hurst parameter $H>\frac{1}{2}$, it is known that the existing (naive) Euler scheme has the rate of convergence $n^{1-2H}$. Since the limit $H\rightarrow\frac{1}{2}$ of the SDE corresponds to a Stratonovich SDE driven by standard Brownian motion, and the naive Euler scheme is the extension of the classical Euler scheme for It\^{o} SDEs for $H=\frac{1}{2}$, the convergence rate of the naive Euler scheme deteriorates for $H\rightarrow\frac{1}{2}$. In this paper we introduce a new (modified Euler) approximation scheme which is closer to the classical Euler scheme for Stratonovich SDEs for $H=\frac{1}{2}$, and it has the rate of convergence $\gamma_n^{-1}$, where $\gamma_n=n^{2H-{1}/2}$ when $H<\frac{3}{4}$, $\gamma_n=n/\sqrt{\log n}$ when $H=\frac{3}{4}$ and $\gamma_n=n$ if $H>\frac{3}{4}$. Furthermore, we study the asymptotic behavior of the fluctuations of the error. More precisely, if $\{X_t,0\le t\le T\}$ is the solution of a SDE driven by a fBm and if $\{X_t^n,0\le t\le T\}$ is its approximation obtained by the new modified Euler scheme, then we prove that $\gamma_n(X^n-X)$ converges stably to the solution of a linear SDE driven by a matrix-valued Brownian motion, when $H\in(\frac{1}{2},\frac{3}{4}]$. In the case $H>\frac{3}{4}$, we show the $L^p$ convergence of $n(X^n_t-X_t)$, and the limiting process is identified as the solution of a linear SDE driven by a matrix-valued Rosenblatt process. The rate of weak convergence is also deduced for this scheme. We also apply our approach to the naive Euler scheme.Comment: Published at http://dx.doi.org/10.1214/15-AAP1114 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Note on q-extensions of Euler numbers and polynomials of higher order

In [14] Ozden-Simsek-Cangul constructed generating functions of higher-order twisted $(h,q)$-extension of Euler polynomials and numbers, by using $p$-adic q-deformed fermionic integral on $\Bbb Z_p$. By applying their generating functions, they derived the complete sums of products of the twisted $(h,q)$-extension of Euler polynomials and numbers, see[13, 14]. In this paper we cosider the new $q$-extension of Euler numbers and polynomials to be different which is treated by Ozden-Simsek-Cangul. From our $q$-Euler numbers and polynomials we derive some interesting identities and we construct $q$-Euler zeta functions which interpolate the new $q$-Euler numbers and polynomials at a negative integer. Furthermore we study Barnes' type $q$-Euler zeta functions. Finally we will derive the new formula for " sums products of $q$-Euler numbers and polynomials" by using fermionic $p$-adic $q$-integral on $\Bbb Z_p$.Comment: 11 page