Extrapolation Methods for the Weak Approximation of Ito Diffusions

DOI10.1137/0732069zbMath0866.60048OpenAlexW2066210596MaRDI QIDQ4857623

Eckhard Platen, Norbert Hofmann, Peter E. Kloeden

Publication date: 8 July 1997

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0732069

zbMATH Keywords

stochastic differential equationsextrapolation methodsweak approximations

Mathematics Subject Classification ID

Related Items (4)

Second order Runge-Kutta methods for Stratonovich stochastic differential equations ⋮ Higher-order weak schemes for the Heston stochastic volatility model by extrapolation ⋮ A Multiresolution Method for Parameter Estimation of Diffusion Processes ⋮ Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations

This page was built for publication: Extrapolation Methods for the Weak Approximation of Ito Diffusions