An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations

DOI10.1016/j.spa.2023.08.006zbMath1525.60035arXiv2206.10297WikidataQ124968692 ScholiaQ124968692MaRDI QIDQ6080380

Antoine Hocquet, Alexander Vogler

Publication date: 30 October 2023

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

Full work available at URL: https://arxiv.org/abs/2206.10297

zbMATH Keywords

weak approximationcubature on Wiener spaceSewing Lemmasignature of the approximating driving signal

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Feller processes (60G53)

Cites Work

• Cubature methods for stochastic (partial) differential equations in weighted spaces
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma
• On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
• Cubature on Wiener space
• Multidimensional Stochastic Processes as Rough Paths
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Brownian Motion
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