An asymptotically efficient difference formula for solving stochastic differential equations

DOI10.1080/17442508608833423MaRDI QIDQ4727939zbMATH OpenOpenAlexFDO

Authors Nigel J. Newton

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833423

zbMATH Keywords

asymptotic efficiencyconditional central limit theoremnumerical approximation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

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Cites work

• Continuous Markov processes and stochastic equations
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• On the optimal filtering of diffusion processes

Cited in

(21)

• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Observation sampling and quantisation for continuous-time estimators.
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Simultaneous time and chance discretization for stochastic differential equations
• Wong-Zakai approximations for stochastic differential equations
• The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• Cubature methods and applications
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• Relations between multiple ito and stratonovich integrals
• Option Pricing Under Incompleteness and Stochastic Volatility
• scientific article; zbMATH DE number 3992567 (Why is no real title available?)
• Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
• Difference Methods for Stochastic Partial Differential Equations
• Efficient discretisation of stochastic differential equations
• An optimal polynomial approximation of Brownian motion
• Algebraic structures and stochastic differential equations driven by Lévy processes
• The order barrier for the L^1-approximation of the log-Heston SDE at a single point
• A survey of numerical methods for stochastic differential equations

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