Weak convergence of semimartingales and discretisation methods

DOI10.1016/0304-4149(85)90016-XzbMATH Open0584.60060OpenAlexW2011841246MaRDI QIDQ1069555FDOQ1069555

Eckhard Platen, Rolando Rebolledo

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90016-x

zbMATH Keywords

weak convergence of discrete time approximation schemesweak convergence of special semimartingales

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Generalizations of martingales (60G48)

Cites Work

• Calcul stochastique et problèmes de martingales
• Stopping times and tightness
• Probability methods for approximations in stochastic control and for elliptic equations
• Approximations for functionals and optimal control problems on jump diffusion processes
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Cited In (7)

• Exact simulation of jump-diffusion processes with Monte Carlo applications
• A survey of numerical methods for stochastic differential equations
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• On quantum dynamical semigroups
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Title not available (Why is that?)
• Alternative models for stock price dynamics.

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