ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS
DOI10.1017/S0004972723000497zbMath1521.60002OpenAlexW4380877233MaRDI QIDQ6046812
Publication date: 6 September 2023
Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0004972723000497
diffusionconvergencestochastic differential equationsapproximation schemesparametrix methoddensity estimates
Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Jump processes on discrete state spaces (60J74)
Cites Work
- The parametrix method for skew diffusions
- Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
- Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
- On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
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