Weak error for stable driven stochastic differential equations: expansion of the densities

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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The Euler scheme for Lévy driven stochastic differential equations
Curvature and the eigenvalues of the Laplacian
Expansion of the global error for numerical schemes solving stochastic differential equations
The approximate Euler method for Lévy driven stochastic differential equations
Symmetric Stable Laws and Stable-Like Jump-Diffusions
The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
On the existence of smooth densities for jump processes
First exit times of SDEs driven by stable Lévy processes
A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
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Weak error for stable driven stochastic differential equations: expansion of the densities
Explicit parametrix and local limit theorems for some degenerate diffusion processes
Euler scheme and tempered distributions
Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures

Cited In (14)

Модели стохастической динамики развития производственных предприятий с запаздывающими внутренними и внешними инвестициями
Well-posedness of some non-linear stable driven SDEs
Hellinger and total variation distance in approximating Lévy driven SDEs
On numerical density approximations of solutions of SDEs with unbounded coefficients
A probabilistic interpretation of the parametrix method
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications
Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients
A multi-step Richardson-Romberg extrapolation method for stochastic approximation
Математические модели стохастической динамики развития предприятий
Weak error for stable driven stochastic differential equations: expansion of the densities
Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
On weak uniqueness and distributional properties of a solution to an SDE with \(\alpha\)-stable noise
Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes

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