High order Itô-Taylor approximations to heat kernels
From MaRDI portal
Publication:1384473
DOI10.1215/kjm/1250518401zbMath0901.60029OpenAlexW1504696424MaRDI QIDQ1384473
Publication date: 11 November 1998
Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1215/kjm/1250518401
stochastic differential equationWiener processMalliavin calculusMonte Carlo methodsEuler-Maruyama schemeapproximations of heat kernelsconvergence rate of the densityDonsker delta functionsItô-Taylor approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items
Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation ⋮ Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions ⋮ Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications ⋮ An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure ⋮ Approximation of quantiles of components of diffusion processes. ⋮ Weak approximations. A Malliavin calculus approach
This page was built for publication: High order Itô-Taylor approximations to heat kernels