Edgeworth type expansions for Euler schemes for stochastic differential equations.

DOI10.1515/mcma.2002.8.3.271zbMath1028.65005OpenAlexW2085051186MaRDI QIDQ4792955

Valentin Konakov, Enno Mammen

Publication date: 11 January 2004

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2002.8.3.271

zbMATH Keywords

weak convergenceEuler-Maruyama methodEdgeworth type expansionsapproximation of densitiesordinary time-homogeneous stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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