KMT Theory Applied to Approximations of SDE

DOI10.1007/978-3-319-11292-3_7zbMath1388.60116OpenAlexW67897589MaRDI QIDQ5374160

Alexander M. Davie

Publication date: 9 April 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11292-3_7

zbMATH Keywords

numerical schemeSDEVaserstein metric

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme, The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method, Total variation bound for Milstein scheme without iterated integrals, Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function, TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS, The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms, High Order Splitting Methods for SDEs Satisfying a Commutativity Condition, An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox, THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM, Approximation of SDE solutions using local asymptotic expansions

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