Time-dependent weak rate of convergence for functions of generalized bounded variation

DOI10.1080/07362994.2020.1809458zbMath1470.60125arXiv1609.05768OpenAlexW3082773930WikidataQ109745343 ScholiaQ109745343MaRDI QIDQ5005986

Antti Luoto

Publication date: 12 August 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05768

zbMATH Keywords

weak rate of convergenceapproximation using simple random walkfinite difference approximation of the heat equation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Heat equation (35K05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Related Items (1)

On first exit times and their means for Brownian bridges

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