Rough path recursions and diffusion approximations (Q259589)

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Rough path recursions and diffusion approximations (English)

The Annals of Applied Probability

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publication date

11 March 2016

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full work available at URL

https://arxiv.org/abs/1402.3188

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https://projecteuclid.org/euclid.aoap/1452003244

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zbMATH Keywords

stochastic differential equations

rough path theory

diffusion limits

non-semimartingale

numerical schemes

MaRDI publication profile

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Rough path recursions and diffusion approximations (Q259589)

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Mathematics(1 entry)