ESSAYS ON STRONG AND WEAK APPROXIMATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1017/S0004972723000497MaRDI QIDQ6046812zbMATH OpenOpenAlexFDO

Authors Guanting Liu

Publication date 6 September 2023

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0004972723000497

zbMATH Keywords

approximation schemesconvergencedensity estimatesdiffusionparametrix methodstochastic differential equations

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74) Numerical solutions to stochastic differential and integral equations (65C30)

Cites work

• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• The parametrix method for skew diffusions
• Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs

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