Asymptotic error distributions for the Euler method for stochastic differential equations

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Publication:1307078

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DOI10.1214/aop/1022855419zbMath0937.60060OpenAlexW1969804920MaRDI QIDQ1307078

Jean Jacod, Philip E. Protter

Publication date: 25 May 2000

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022855419

zbMATH Keywords

Lévy processes stochastic differential equations numerical approximation Euler scheme error distributions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)

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