On weak approximations of (a, b)-invariant diffusions
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Publication:870432
DOI10.1016/J.MATCOM.2006.06.028zbMATH Open1109.60044OpenAlexW2020464669MaRDI QIDQ870432FDOQ870432
Authors: Vigirdas Mackevičius 
Publication date: 12 March 2007
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2006.06.028
Recommendations
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Noise-induced transitions. Theory and applications in physics, chemistry, and biology
- Splitting for Dissipative Particle Dynamics
- Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
- A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
- Second-order weak approximations for Stratonovich stochastic differential equations
- Title not available (Why is that?)
Cited In (6)
- Weak approximation of CIR equation by discrete random variables
- On weak approximations of CIR equation with high volatility
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- A second-order weak approximation of Heston model by discrete random variables
- A weak perturbation theory for approximations of invariant measures in M/G/1 model
- Weak approximation of Heston model by discrete random variables
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