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

DOI10.1515/MCMA.1997.3.4.327MaRDI QIDQ4378097zbMATH OpenOpenAlexFDO

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

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

Cited in

(17)

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

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