Weak convergence of a numerical scheme for stochastic differential equations

zbMATH Open1367.60089MaRDI QIDQ5268412FDOQ5268412

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

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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)

Cited In (9)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Weak versions of stochastic Adams-Bashforth and semi-implicit leapfrog schemes for SDEs
• Title not available (Why is that?)
• 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 rate of weak local linearization schemes for stochastic differential equations with additive noise
• A new discretization scheme for one dimensional stochastic differential equations using time change method
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Error and convergence of two numerical schemes for stochastic differential equations

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