Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
Malliavin calculusapproximation schemesdiffusion processesinvariance principlestotal variation distance
Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
- Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
- Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme
- scientific article; zbMATH DE number 3868359
- Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- A review of recent results on approximation of solutions of stochastic differential equations
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- Approximation of Markov semigroups in total variation distance
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Cubature on Wiener space
- Euler scheme and tempered distributions
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Explicit parametrix and local limit theorems for some degenerate diffusion processes
- Gaussian K-scheme: justification for KLNV method
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Integration by parts formula and applications to equations with jumps
- Jump-adapted discretization schemes for Lévy-driven SDEs
- Stopped diffusion processes: boundary corrections and overshoot
- The Euler scheme for Lévy driven stochastic differential equations
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The approximate Euler method for Lévy driven stochastic differential equations
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Weak approximation of killed diffusion using Euler schemes.
- Weak error for stable driven stochastic differential equations: expansion of the densities
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