Higher-Order Weak Approximation of Ito Diffusions by Markov Chains

DOI10.1017/S0269964800002606zbMath1134.60357OpenAlexW2036722139MaRDI QIDQ3416058

Eckhard Platen

Publication date: 19 January 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800002606

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Related Items

Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations ⋮ Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations ⋮ Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations ⋮ Discrete-space time-fractional processes

Cites Work

• Weak convergence of semimartingales and discretisation methods
• Approximations for functionals and optimal control problems on jump diffusion processes
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
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