A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
type: Item
instance of: scholarly article
title: A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
zbMATH Open document ID: 1405.60107
author: Toshihiro Yamada
author: Kenta Yamamoto
published in: Monte Carlo Methods and Applications
publication date: 2019-01-30T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7008425
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: weak approximation
zbMATH Keywords: Markov chain
MaRDI profile type: Publication
full work available at URL: mcma-2018-2024
OpenAlex ID: W2898914570
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DOI: 10.1515/MCMA-2018-2024
description: scientific article; zbMATH DE number 7008425