Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures

DOI10.1007/S10959-023-01260-XOpenAlexW4372354726MaRDI QIDQ6204777FDOQ6204777

R. Mikulevicius, Changyong Zhang

Publication date: 2 April 2024

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

Full work available at URL: https://doi.org/10.1007/s10959-023-01260-x

zbMATH Keywords

rate of convergencestochastic differential equationsmartingale measurepoint measureweak Euler approximationHölder conditions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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