Weak rate of convergence for an Euler scheme of nonlinear SDE’s

DOI10.1515/MCMA.1997.3.4.327zbMATH Open0890.65147OpenAlexW2006987419MaRDI QIDQ4378097FDOQ4378097

Authors: Shigeyoshi Ogawa, Arturo Kohatsu-Higa 

Publication date: 25 February 1998

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.1997.3.4.327

zbMATH Keywords

convergenceEuler schemenonlinear vector stochastic differential equation

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (15)

• Weak approximations. A Malliavin calculus approach
• An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
• Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• On the wellposedness of some McKean models with moderated or singular diffusion coefficient
• A higher order weak approximation of McKean-Vlasov type SDEs
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
• Gaussian estimation of one-factor mean reversion processes
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
• Importance sampling for McKean-Vlasov SDEs
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

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