On weak approximations of \((a, b)\)-invariant diffusions

DOI10.1016/J.MATCOM.2006.06.028zbMath1109.60044OpenAlexW2020464669MaRDI QIDQ870432

Vigirdas Mackevičius

Publication date: 12 March 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.06.028

zbMATH Keywords

stochastic differential equationsEuler and Milstein approximationssplit-step schemes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Weak approximation of CIR equation by discrete random variables ⋮ A second-order weak approximation of Heston model by discrete random variables ⋮ Weak approximation of Heston model by discrete random variables ⋮ On weak approximations of CIR equation with high volatility ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

Cites Work

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• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Second-order weak approximations for Stratonovich stochastic differential equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Splitting for Dissipative Particle Dynamics
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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