A duality approach for the weak approximation of stochastic differential equations

DOI10.1214/105051606000000060zbMATH Open1123.60053arXivmath/0610178OpenAlexW2018519672MaRDI QIDQ862201FDOQ862201

Damien Lamberton, Arturo Kohatsu-Higa, Emmanuelle Clément

Publication date: 5 February 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach considered here uses the properties of the linear equation satisfied by the error process. This methodology seems to apply to a large class of processes and we present as an example the weak approximation of stochastic delay equations.

Full work available at URL: https://arxiv.org/abs/math/0610178

zbMATH Keywords

Malliavin calculusEuler schemeweak convergence rateSDEdelay SDE

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) 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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Cited In (21)

• Localization of Wiener functionals of fractional regularity and applications
• Existence and uniqueness of solutions of stochastic functional differential equations
• Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• A duality analysis on stochastic partial differential equations
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• Estimates of the difference between two probability densities of Wiener functionals and its application
• Weak Error Rates of Numerical Schemes for Rough Volatility
• When and how an error yields a Dirichlet form
• A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise
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• An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations
• Influence of the regularity of the test functions for weak convergence in numerical discretization of SPDEs
• An optimal control variance reduction method for density estimation
• Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
• Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
• Hyperbolic embedding of infinite-dimensional convex bodies
• Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise
• Numerical analysis for neutral SPDEs driven by α-stable processes

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