Weak convergence of a numerical scheme for stochastic differential equations

MaRDI QIDQ5268412zbMATH OpenFDO

Authors Esteban Aguilera, Raúl Fierro

Publication date 20 June 2017

Full work available at URL http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=37.1&nrA=9&ppB=201&ppE=215

zbMATH Keywords

weak convergencenumerical methodsstochastic differential equationsround-off error

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) 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)

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Cited in

(9)

• scientific article; zbMATH DE number 4092488 (Why is no real title available?)
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• A new discretization scheme for one dimensional stochastic differential equations using time change method
• Weak versions of stochastic Adams-Bashforth and semi-implicit leapfrog schemes for SDEs
• Error and convergence of two numerical schemes for stochastic differential equations

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