A Short Course on Weak Approximations for Lévy Driven SDE’s

DOI10.1007/978-3-0348-0909-2_9zbMath1333.60004OpenAlexW2472649675MaRDI QIDQ5743944

Arturo Kohatsu-Higa

Publication date: 9 February 2016

Published in: Stochastic Analysis: A Series of Lectures (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0909-2_9

zbMATH Keywords

stochastic differential equationsMonte Carlo methodscentral limit theoremweak approximations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)

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