Improved local approximation for multidimensional diffusions: The G-rates

DOI10.1090/tpms/1109zbMath1455.60089OpenAlexW3119877298MaRDI QIDQ3386926

Alexei M. Kulik, S. V. Bodnarchuk, D. O. Ivanenko, Arturo Kohatsu-Higa

Publication date: 8 January 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1109

zbMATH Keywords

stochastic differential equationsexpansionstotal variation distance

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Small time chaos approximations for heat kernels of multidimensional diffusions

Cites Work

• A new extrapolation method for weak approximation schemes with applications
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• On nonlinear transformations of Gaussian measures
• Closed-form likelihood expansions for multivariate diffusions
• Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
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