An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs

DOI10.1214/08-AAP568zbMath1172.60326arXiv0908.1021MaRDI QIDQ2389602

Arturo Kohatsu-Higa, Hideyuki Tanaka

Publication date: 17 July 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1021

zbMATH Keywords

stochastic differential equationsweak approximationjump processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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