Error analysis for approximations to one-dimensional SDEs via the perturbation method

zbMath1434.65013arXiv1911.11402MaRDI QIDQ2176813

Shigeki Aida, Nobuaki Naganuma

Publication date: 5 May 2020

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.11402

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

Cites Work

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