Euler scheme and tempered distributions

DOI10.1016/j.spa.2005.11.011zbMath1106.60053arXiv0707.1243OpenAlexW2006752905MaRDI QIDQ850027

Julien Guyon

Publication date: 15 November 2006

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

Full work available at URL: https://arxiv.org/abs/0707.1243

zbMATH Keywords

stochastic differential equationrate of weak convergence

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Asymptotic error distributions for the Euler method for stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• The approximate Euler method for Lévy driven stochastic differential equations
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Edgeworth type expansions for Euler schemes for stochastic differential equations.

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