A review of recent results on approximation of solutions of stochastic differential equations
DOI10.1007/978-3-0348-0097-6_9zbMATH Open1250.60032OpenAlexW323058673MaRDI QIDQ2909979FDOQ2909979
Authors: Benjamin Jourdain, Arturo Kohatsu-Higa 
Publication date: 7 September 2012
Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_9
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- Discrete-time simulation of stochastic Volterra equations
- Weak convergence of delay SDEs with applications to Carathéodory approximation
- Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
- On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
- Computational Science - ICCS 2004
- Stability problems for Cantor stochastic differential equations
- Strong approximation of Bessel processes
- Multilevel Particle Filters
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
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