On large deviations for approximations of SDEs

DOI10.1007/S00440-002-0235-1MaRDI QIDQ1871746zbMATH OpenOpenAlexFDO

Authors A. Yu. Veretennikov

Publication date 4 May 2003

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00440-002-0235-1

zbMATH Keywords

rate functionsufficient conditionsEuler approximation

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus

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