On numerical density approximations of solutions of SDEs with unbounded coefficients

DOI10.1007/S10444-017-9558-4zbMath1393.60075arXiv1506.05576OpenAlexW2963910708MaRDI QIDQ723733

Espen R. Jakobsen, Arvid Naess, Linghua Chen

Publication date: 24 July 2018

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05576

zbMATH Keywords

convergencenumerical methodstochastic differential equationsprobability densitypath integrationdensity trackingsemigroup generation

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (6)

On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications ⋮ Adaptive density tracking by quadrature for stochastic differential equations ⋮ Chernoff approximation of subordinate semigroups ⋮ \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes ⋮ Artificial viscosity joint spacetime multigrid method for Hamilton-Jacobi-Bellman and Kolmogorov-Fokker-Planck system arising from mean field games ⋮ Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Rate of convergence of Feynman approximations of semigroups generated by the oscillator Hamiltonian
• High order recombination and an application to cubature on Wiener space
• Absolute continuity for some one-dimensional processes
• Weak error for stable driven stochastic differential equations: expansion of the densities
• On some non asymptotic bounds for the Euler scheme
• Hölder continuity property of the densities of SDEs with singular drift coefficients
• Euler scheme and tempered distributions
• Numerical path integration of a non-homogeneous Markov process
• Analytic semigroups generated in \(L^{1}(\Omega)\) by second order elliptic operators via duality methods
• Sharp estimates for the convergence of the density of the Euler scheme in small time
• Generation of analytic semigroups in the \(L^ p\) topology by elliptic operators in \({\mathbb{R}}^ n\)
• Chaos, fractals, and noise: Stochastic aspects of dynamics.
• The path integral approach to financial modeling and options pricing
• Analytic semigroups and degenerate elliptic operators with unbounded coefficients: A probabilistic approach
• Local limit theorems for transition densities of Markov chains converging to diffusions
• Parameter inference for stochastic differential equations with density tracking by quadrature
• Feynman formulas for second-order parabolic equations with variable coefficients
• Fast and accurate pricing of discretely monitored barrier options by numerical path integration
• Generation results for elliptic operators with unbounded diffusion coefficients in \(L^p\)-and \(C_b\)-spaces
• On the distances between probability density functions
• Feynman formulae and phase space Feynman path integrals for tau-quantization of some Lévy-Khintchine type Hamilton functions
• REGULARITY OF VERY WEAK SOLUTIONS FOR NONHOMOGENEOUS ELLIPTIC EQUATION
• A Remark on Bony Maximum Principle
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• User’s guide to viscosity solutions of second order partial differential equations
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Elliptic operators on \(\mathbb{R}^d\) with unbounded coefficients

This page was built for publication: On numerical density approximations of solutions of SDEs with unbounded coefficients