scientific article; zbMATH DE number 3801436

MaRDI QIDQ4745735zbMATH OpenFDO

Authors J. M. C. Clark

Publication date 1982

zbMATH Keywords

approximationconditional central limit theoremequations of nonlinear filtering theoryrate of convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Asymptotic distribution theory in statistics (62E20) Probabilistic methods, stochastic differential equations (65C99) Filtering in stochastic control theory (93E11)

Cited in

(5)

• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Cubature methods and applications
• A Packing Problem You Can Almost Solve by Sitting on Your Suitcase
• An optimal polynomial approximation of Brownian motion
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition

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