The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

DOI10.1007/BF01303802MaRDI QIDQ1908538zbMATH OpenOpenAlexFDO

Authors Vlad Bally, Denis Talay

Publication date 27 May 1996

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

Full work available at URL https://doi.org/10.1007/bf01303802

zbMATH Keywords

stochastic differential equationBrownian motionconvergence rateEuler discretization scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
• Convergence of the Euler scheme for a class of stochastic differential equations
• scientific article; zbMATH DE number 679800
• Convergence of the Euler scheme for stochastic functional partial differential equations
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion

Cites work

• scientific article; zbMATH DE number 3907496 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Expansion of the global error for numerical schemes solving stochastic differential equations
• On the connection between the Malliavin covariance matrix and Hörmander's condition
• The Euler scheme for Lévy driven stochastic differential equations
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Variance Reduction for Simulated Diffusions
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(only showing first 100 items - show all)

• On the discretization schemes for the CIR (and Bessel squared) processes
• Error estimates for the binomial approximation of American put options
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Efficient second-order weak scheme for stochastic volatility models
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Infinite-dimensional quadrature and approximation of distributions
• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• Complexity and effective dimension of discrete Lévy areas
• Approximation of jump diffusions in finance and economics
• Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
• Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
• Introduction to stochastic models in biology
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Weak approximation of stochastic partial differential equations: the nonlinear case
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Progressive filtration expansions via a process, with applications to insider trading
• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Split-step forward methods for stochastic differential equations
• Cubature methods and applications
• Discretization error of stochastic integrals
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Concentration inequalities for Euler schemes
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• Time discretization and quantization methods for optimal multiple switching problem
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Regularization lemmas and convergence in total variation
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• Interpolation and approximation in \(L_{2}(\gamma )\)
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
• Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
• Spectral analysis of hypoelliptic random walks
• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Localization of Wiener functionals of fractional regularity and applications
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Error expansion for the discretization of backward stochastic differential equations
• Generalized spectral testing for multivariate continuous-time models
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
• Weak convergence of the Euler scheme for stochastic differential delay equations
• Approximation of SDEs: a stochastic sewing approach
• Numerical analysis for neutral SPDEs driven by {\(\alpha\)}-stable processes
• Weak error for stable driven stochastic differential equations: expansion of the densities
• Importance sampling and statistical Romberg method
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• Derivative-Free Bayesian Inversion Using Multiscale Dynamics
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Improving Monte Carlo simulations by Dirichlet forms
• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• Weak approximations. A Malliavin calculus approach
• A duality approach for the weak approximation of stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Weak approximation of killed diffusion using Euler schemes.
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Limit theorems for weighted and regular multilevel estimators
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Derandomization of the Euler scheme for scalar stochastic differential equations
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• On irregular functionals of SDEs and the Euler scheme
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• Pseudogenerators of spatial transfer operators
• A probabilistic interpretation of the parametrix method
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
• Numerical simulations and modeling for stochastic biological systems with jumps
• Multilevel Monte Carlo approximation of distribution functions and densities
• Approximation of quantiles of components of diffusion processes.
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
• Edgeworth expansion for Euler approximation of continuous diffusion processes
• Edgeworth-type expansions for transition densities of Markov chains converging to diffusions
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Euler scheme and tempered distributions
• Minimum variance importance samplingviaPopulation Monte Carlo
• A numerical scheme for stochastic differential equations with distributional drift
• Invariant density estimation for a reflected diffusion using an Euler scheme
• More on the long time stability of Feynman-Kac semigroups
• An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
• Short communication: on the weak convergence rate in the discretization of rough volatility models
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• High order weak approximation for irregular functionals of time-inhomogeneous SDEs
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Monte-Carlo simulation of stochastic differential systems - a geometrical approach
• Differentiability in infinite dimension and the Malliavin calculus
• Asymptotic bias of inexact Markov chain Monte Carlo methods in high dimension
• Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• A weak approximation method for irregular functionals of hypoelliptic diffusions
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• Weak approximation of stochastic differential delay equations for bounded measurable function
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• The threshold of stochastic Gilpin-Ayala model subject to general Lévy jumps

This page was built for publication: The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1908538)