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scientific article; zbMATH DE number 16922
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scientific article; zbMATH DE number 16922 |
Statements
26 June 1992
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distribution of the error in a Euler scheme
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stochastic differential equations
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semimartingales
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Wong-Zakai correction
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0.808602511882782
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0.7771170735359192
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0.7761844396591187
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0.7722892165184021
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[For the entire collection see Zbl 0724.00018.] The paper studies the asymptotic distribution of the error in a Euler scheme for stochastic differential equations driven by arbitrary semimartingales. An integration by parts yields a Wong-Zakai correction.
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