scientific article; zbMATH DE number 16922

[For the entire collection see Zbl 0724.00018.] The paper studies the asymptotic distribution of the error in a Euler scheme for stochastic differential equations driven by arbitrary semimartingales. An integration by parts yields a Wong-Zakai correction.

Recommendations

On Wong-Zakai approximation of stochastic differential equations
scientific article; zbMATH DE number 721927
The Euler scheme for a stochastic differential equation driven by pure jump semimartingales
Asymptotic error distributions for the Euler method for stochastic differential equations
Wong-Zakai type convergence in infinite dimensions

Cited in

(68)

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

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3973613)