Numerical error for SDE: Asymptotic expansion and hyperdistributions

DOI10.1016/S1631-073X(03)00189-4zbMath1028.60054MaRDI QIDQ1408179

Paul Malliavin, Anton Thalmaier

Publication date: 15 September 2003

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Euler scheme and tempered distributions, When and how an error yields a Dirichlet form, Accelerated finite elements schemes for parabolic stochastic partial differential equations, Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation, On stochastic finite difference schemes, Monte-Carlo simulation of stochastic differential systems - a geometrical approach, Numerical approximation of diffusions in \(\mathbb {R}^d\) using normal charts of a Riemannian manifold, Improving Monte Carlo simulations by Dirichlet forms

Cites Work

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• Weak approximation of killed diffusion using Euler schemes.
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• Weak rate of convergence for an Euler scheme of nonlinear SDE’s
• Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
• Analysis of Error with Malliavin Calculus: Application to Hedging
• Expansion of the global error for numerical schemes solving stochastic differential equations