Rough path recursions and diffusion approximations
DOI10.1214/15-AAP1096zbMath1335.60093arXiv1402.3188MaRDI QIDQ259589
F. Blanchet-Sadri, M. Dambrine
Publication date: 11 March 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.3188
stochastic differential equationsnumerical schemesdiffusion limitsnon-semimartingalerough path theory
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17) Stochastic difference equations (39A50)
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