Edgeworth type expansions for Euler schemes for stochastic differential equations.

DOI10.1515/mcma.2002.8.3.271zbMath1028.65005MaRDI QIDQ4792955

Valentin Konakov, Enno Mammen

Publication date: 11 January 2004

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

Full work available at URL: https://doi.org/10.1515/mcma.2002.8.3.271

zbMATH Keywords

weak convergence; Euler-Maruyama method; Edgeworth type expansions; approximation of densities; ordinary time-homogeneous stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H07: Stochastic calculus of variations and the Malliavin calculus

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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