A duality approach for the weak approximation of stochastic differential equations

DOI10.1214/105051606000000060zbMath1123.60053arXivmath/0610178OpenAlexW2018519672MaRDI QIDQ862201

Damien Lamberton, Arturo Kohatsu-Higa, Emmanuelle Clément

Publication date: 5 February 2007

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

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

zbMATH Keywords

Malliavin calculusEuler schemeweak convergence rateSDEdelay SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• The Malliavin calculus and stochastic delay equations
• Dirichlet forms and analysis on Wiener space
• Weak discrete time approximation of stochastic differential equations with time delay
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Weak approximation of stochastic differential delay equations
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Expansion of the global error for numerical schemes solving stochastic differential equations

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