A review of recent results on approximation of solutions of stochastic differential equations

DOI10.1007/978-3-0348-0097-6_9MaRDI QIDQ2909979zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Euler-Maruyama schemestochastic equationsKusuoka schemeweak approximationsMilshtein scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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

(10)

• 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
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process

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