Weak convergence of semimartingales and discretisation methods

DOI10.1016/0304-4149(85)90016-XMaRDI QIDQ1069555zbMATH OpenOpenAlexFDO

Authors 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)

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Cited in

(12)

• Weak convergence of a sequence of semimartingales to a diffusion with discontinuous drift and diffusion coefficients
• Exact simulation of jump-diffusion processes with Monte Carlo applications
• A survey of numerical methods for stochastic differential equations
• Weak approximation of SDEs by discrete-time processes
• scientific article; zbMATH DE number 3913366 (Why is no real title available?)
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• scientific article; zbMATH DE number 4098396 (Why is no real title available?)
• On quantum dynamical semigroups
• Convergence of some random functionals of discretized semimartingales
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Alternative models for stock price dynamics.
• scientific article; zbMATH DE number 3983058 (Why is no real title available?)

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