scientific article; zbMATH DE number 16922

MaRDI QIDQ3973613zbMATH OpenFDO

Authors Thomas G. Kurtz, Philip Protter

Publication date 26 June 1992

zbMATH Keywords

stochastic differential equationssemimartingalesWong-Zakai correctiondistribution of the error in a Euler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(64)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
• Milstein's type schemes for fractional SDEs
• Wong-Zakai approximations and center manifolds of stochastic differential equations
• Explicit form and robustness of martingale representations.
• A functional central limit theorem for a Markov-modulated infinite-server queue
• Dynamical stability of random delayed FitzHugh–Nagumo lattice systems driven by nonlinear Wong–Zakai noise
• Wong-Zakai approximations and attractors for stochastic reaction-diffusion equations on unbounded domains
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Error expansion for the discretization of backward stochastic differential equations
• Conjugate dynamics on center-manifolds for stochastic partial differential equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• The Euler scheme for Lévy driven stochastic differential equations
• On error operators related to the arbitrary functions principle
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Higher-order Wong-Zakai approximations of stochastic reaction-diffusion equations on \(\mathbb{R}^N\)
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Almost sure approximation of Wong-Zakai type for stochastic partial differential equations
• Asymptotic behavior of random Navier-Stokes equations driven by Wong-Zakai approximations
• Realized volatility with stochastic sampling
• Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Wong-Zakai approximations for stochastic differential equations
• Finite dimensional approximations to Wiener measure and path integral formulas on manifolds
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
• Weak approximation of killed diffusion using Euler schemes.
• Weak convergence to the multiple Stratonovich integral.
• On reflected Stratonovich stochastic differential equations
• Wong-Zakai approximations and attractors for non-autonomous stochastic Fitzhugh-Nagumo system on unbounded domains
• Stratonovich–Taylor expansion and numerical methods^∗
• When and how an error yields a Dirichlet form
• Efficient discretisation of stochastic differential equations
• Wong-Zakai approximations and long term behavior of stochastic partial differential equations
• A decreasing step method for strongly oscillating stochastic models
• Existence, uniqueness and approximation of the jump-type stochastic Schrödinger equation for two-level systems
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
• Existence, uniqueness and approximation of a stochastic Schrödinger equation: The diffusive case
• Poisson and diffusion approximation of stochastic master equations with control
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Discretization error of stochastic integrals
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• The asymptotic error of chaos expansion approximations for stochastic differential equations
• An extension to the Wiener space of the arbitrary functions principle
• Wong-Zakai approximations and long term behavior of stochastic FitzHugh-Nagumo system
• Wong-Zakai approximations and limiting dynamics of stochastic Ginzburg-Landau equations
• Regularity of Wong-Zakai approximation for stochastic reaction-diffusion equation on \(\mathbb{R}^N\)
• Error distributions for random grid approximations of multidimensional stochastic integrals
• Wong-Zakai approximations and asymptotic behavior of stochastic Ginzburg-Landau equations
• Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Limit theorem for random walk in weakly dependent random scenery
• Quantifying a convergence theorem of Gyöngy and Krylov
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Probabilistic limiting behavior of stochastic inertial manifolds for a class of SPDEs
• The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
• Edgeworth expansion for Euler approximation of continuous diffusion processes
• A multilevel approach for stochastic nonlinear optimal control
• Diffusion approximations for random walks on nilpotent Lie groups
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Asymptotic analysis of hedging errors in models with jumps
• Portfolio rebalancing error with jumps and mean reversion in asset prices
• The Wong-Zakai approximations of invariant manifolds and foliations for stochastic evolution equations

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