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

DOI10.1007/S10959-010-0291-XzbMATH Open1235.60065OpenAlexW1871431569MaRDI QIDQ548158FDOQ548158

Authors: V. Konakov, Stéphane Menozzi 

Publication date: 28 June 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-010-0291-x

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zbMATH Keywords

Euler schemesymmetric stable processesparametrix

Mathematics Subject Classification ID

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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Cited In (15)

• 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
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• 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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