Donsker's delta functions and approximation of heat kernels by the time discretization methods

DOI10.1215/KJM/1250518506MaRDI QIDQ675800zbMATH OpenOpenAlexFDO

Authors Yaozhong Hu, Shinzo Watanabe

Publication date 4 March 1998

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1215/kjm/1250518506

zbMATH Keywords

stochastic differential equationsdiscrete time approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(18)

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• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
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• An optimal control variance reduction method for density estimation
• A Lattice-Based Smoother for Regions With Irregular Boundaries and Holes
• On an approach for evaluating certain trigonometric character sums using the discrete time heat kernel
• Density convergence of a fully discrete finite difference method for stochastic Cahn-Hilliard equation
• Derivative of the Donsker delta functionals
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• Weak approximations. A Malliavin calculus approach
• Control variate method for deep BSDE solver using weak approximation
• A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
• Stochastic quantization and ergodic theorem for density of diffusions
• Stability and approximations of symmetric diffusion semigroups and kernels
• A higher order weak approximation of McKean-Vlasov type SDEs
• A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
• Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
• Total variation bound for Milstein scheme without iterated integrals

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