The asymptotic error of chaos expansion approximations for stochastic differential equations

DOI10.15559/19-VMSTA133zbMath1439.60054arXiv1906.01209OpenAlexW2941758122WikidataQ128029323 ScholiaQ128029323MaRDI QIDQ2326537

Mark Podolskij, Sebastian Sager, Tony Huschto

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.01209

zbMATH Keywords

Malliavin calculusstochastic differential equationsnumerical approximationchaos expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

A splitting/polynomial chaos expansion approach for stochastic evolution equations

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