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

DOI10.1007/BF01303802zbMATH Open0838.60051OpenAlexW2607399731MaRDI QIDQ1908538FDOQ1908538

Denis Talay, Vlad Bally

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)

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Cited In (only showing first 100 items - show all)

• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• Localization of Wiener functionals of fractional regularity and applications
• Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
• Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
• Introduction to Stochastic Models in Biology
• Minimum variance importance samplingviaPopulation Monte Carlo
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Weak approximations. A Malliavin calculus approach
• A duality approach for the weak approximation of stochastic differential equations
• Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
• Infinite-dimensional quadrature and approximation of distributions
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Interpolation and approximation in \(L_{2}(\gamma )\)
• Error expansion for the discretization of backward stochastic differential equations
• Pseudogenerators of Spatial Transfer Operators
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• Approximation of quantiles of components of diffusion processes.
• Time discretization and quantization methods for optimal multiple switching problem
• CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
• Importance sampling and statistical Romberg method
• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• Split-step forward methods for stochastic differential equations
• Approximation of SDEs: a stochastic sewing approach
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• Complexity and effective dimension of discrete Lévy areas
• Weak approximation of stochastic partial differential equations: the nonlinear case
• Generalized spectral testing for multivariate continuous-time models
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
• Weak approximation of killed diffusion using Euler schemes.
• Error estimates for the binomial approximation of American put options
• SPECTRAL ANALYSIS OF HYPOELLIPTIC RANDOM WALKS
• A probabilistic interpretation of the parametrix method
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Discretization error of stochastic integrals
• Some new simulations schemes for the evaluation of Feynman–Kac representations
• Approximation of jump diffusions in finance and economics
• Regularization lemmas and convergence in total variation
• PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
• Edgeworth-type expansions for transition densities of Markov chains converging to diffusions
• Cubature Methods and Applications
• Improving Monte Carlo simulations by Dirichlet forms
• Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
• Efficient Second-order Weak Scheme for Stochastic Volatility Models
• Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
• Weak error for stable driven stochastic differential equations: expansion of the densities
• Numerical simulations and modeling for stochastic biological systems with jumps
• Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
• On the discretization schemes for the CIR (and Bessel squared) processes
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Derivative-Free Bayesian Inversion Using Multiscale Dynamics
• On irregular functionals of SDEs and the Euler scheme
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Multilevel Monte Carlo Approximation of Distribution Functions and Densities
• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Limit theorems for weighted and regular multilevel estimators
• Edgeworth expansion for Euler approximation of continuous diffusion processes
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Numerical analysis for neutral SPDEs driven by α-stable processes
• Euler scheme and tempered distributions
• An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions
• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process
• Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
• Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states
• Using Coupling Methods to Estimate Sample Quality of Stochastic Differential Equations
• Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
• Weak error for nested multilevel Monte Carlo
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Модели стохастической динамики развития производственных предприятий с запаздывающими внутренними и внешними инвестициями
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
• On the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift
• Parameter inference for degenerate diffusion processes
• Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
• Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels
• Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs
• Differentiability in infinite dimension and the Malliavin calculus
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• Weak convergence of Euler scheme for SDEs with low regular drift
• A hybrid probabilistic domain decomposition algorithm suited for very large-scale elliptic PDEs
• Weak convergence of delay SDEs with applications to Carathéodory approximation
• Monte-Carlo simulation of stochastic differential systems - a geometrical approach

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