The asymptotic error of chaos expansion approximations for stochastic differential equations
DOI10.15559/19-VMSTA133zbMath1439.60054arXiv1906.01209OpenAlexW2941758122WikidataQ128029323 ScholiaQ128029323MaRDI QIDQ2326537
Mark Podolskij, Sebastian Sager, Tony Huschto
Publication date: 8 October 2019
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.01209
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (1)
Cites Work
- Unnamed Item
- A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient
- Stochastic partial differential equations. A modeling, white noise functional approach
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- The Euler scheme with irregular coefficients
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Solving stochastic optimal control problems by a Wiener chaos approach
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- A stochastic modeling methodology based on weighted Wiener chaos and Malliavin calculus
- Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation
- Rate of Convergence of the Euler Approximation for Diffusion Processes
- The Malliavin Calculus and Related Topics
- ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
- Nonlinear Filtering Revisited: A Spectral Approach
- Convergence rates for finite elementapproximations of stochastic partial differential equations
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE
- Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part I
- Chaos expansion methods for stochastic differential equations involving the Malliavin derivative, Part II
- On Convergence rate of Wiener-Ito expansion for generalized random variables
- Stochastic Differential Equations: A Wiener Chaos Approach
This page was built for publication: The asymptotic error of chaos expansion approximations for stochastic differential equations
