High order Itô-Taylor approximations to heat kernels

DOI10.1215/KJM/1250518401zbMath0901.60029OpenAlexW1504696424MaRDI QIDQ1384473

Arturo Kohatsu-Higa

Publication date: 11 November 1998

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1215/kjm/1250518401

zbMATH Keywords

stochastic differential equationWiener processMalliavin calculusMonte Carlo methodsEuler-Maruyama schemeapproximations of heat kernelsconvergence rate of the densityDonsker delta functionsItô-Taylor approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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