KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS
DOI10.1142/S0219024911006619zbMath1252.60037arXiv0711.0132OpenAlexW3122991843MaRDI QIDQ3107928
Publication date: 28 December 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.0132
convergenceMarkov chainskernel estimatesstochastic processesstochastic differential equationsrenormalization groupfinite difference schemesdiffusionsCourant bound
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)
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