An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs

DOI10.1214/08-AAP568zbMATH Open1172.60326arXiv0908.1021MaRDI QIDQ2389602FDOQ2389602

Authors: Hideyuki Tanaka, Arturo Kohatsu-Higa 

Publication date: 17 July 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0908.1021

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zbMATH Keywords

stochastic differential equationsweak approximationjump processes

Mathematics Subject Classification ID

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)

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Cited In (13)

• A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
• Optimal simulation schemes for Lévy driven stochastic differential equations
• A multilevel Monte Carlo algorithm 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
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• Variance reduction for discretised diffusions via regression
• 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
• Efficient second-order weak scheme for stochastic volatility models
• A short course on weak approximations for Lévy driven SDE's

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