An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
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Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: Weak approximations have been developed to calculate the expectation value of functionals of stochastic differential equations, and various numerical discretization schemes (Euler, Milshtein) have been studied by many authors. We present a general framework based on semigroup expansions for the construction of higher-order discretization schemes and analyze its rate of convergence. We also apply it to approximate general L'{e}vy driven stochastic differential equations.
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Cited in
(13)- Efficient second-order weak scheme for stochastic volatility models
- A short course on weak approximations for Lévy driven SDE's
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
- Optimal simulation schemes for Lévy driven stochastic differential equations
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
- Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
- Variance reduction for discretised diffusions via regression
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
- Cubature methods for stochastic (partial) differential equations in weighted spaces
- Normal approximation of the solution to the stochastic heat equation with Lévy noise
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
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