Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process

DOI10.1090/TPMS/1079zbMath1440.60061OpenAlexW3009487743MaRDI QIDQ5218374

S. V. Bodnarchuk, O. M. Kulyk

Publication date: 3 March 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1079

zbMATH Keywords

stochastic differential equationsweak approximationHermite polynomialsEuler method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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• Continuous Markov processes and stochastic equations
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

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