On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming

DOI10.1137/110841497zbMath1264.60038OpenAlexW2044108878MaRDI QIDQ4917123

Kenji Kashima, Reiichiro Kawai

Publication date: 29 April 2013

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110841497

zbMATH Keywords

stochastic differential equationsemidefinite programmingweak approximationsum-of-squares relaxationDynkin formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Semidefinite programming (90C22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• SeDuMi
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