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

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

Cited in

(15)

• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• 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
• Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws
• Importance sampling for McKean-Vlasov SDEs
• 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
• A higher order weak approximation of McKean-Vlasov type SDEs
• Gaussian estimation of one-factor mean reversion processes

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