Rate of Convergence of the Euler Approximation for Diffusion Processes
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rate of convergenceWiener processweak solutiondiffusion processesorder of convergenceEuler approximationItô stochastic differential equationtime-discrete Monte Carlo simulation
Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite difference and finite volume methods for ordinary differential equations (65L12) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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(57)- On the rate of convergence of the diffusion approximations
- Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
- Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
- Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents
- The Convergence of an Euler Approximation of an Initial Value Problem Is Not Always Obvious
- Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups
- Speeding up the Euler scheme for killed diffusions
- Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
- Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
- On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
- Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
- Weak convergence of path-dependent SDEs with irregular coefficients
- scientific article; zbMATH DE number 721927 (Why is no real title available?)
- On the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift
- Weak Euler approximation for Itô diffusion and jump processes
- A survey of numerical methods for stochastic differential equations
- On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion
- Approximation of quantiles of components of diffusion processes.
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Time-dependent weak rate of convergence for functions of generalized bounded variation
- Weak approximation of Schrödinger-Föllmer diffusion
- The Euler-Maruyama approximation for the absorption time of the CEV diffusion
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- scientific article; zbMATH DE number 4007647 (Why is no real title available?)
- An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
- Weak approximation of SDEs by discrete-time processes
- On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
- On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
- Rates of convergence to the local time of a diffusion
- Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- A discretized version of Krylov's estimate and its applications
- Stability of densities for perturbed diffusions and Markov chains
- The asymptotic error of chaos expansion approximations for stochastic differential equations
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift
- On local mixing conditions for SDE approximations
- An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient
- On stochastic differential equations with arbitrary slow convergence rates for strong approximation
- Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
- Approximations of non-smooth integral type functionals of one dimensional diffusion processes
- The Girsanov theorem without (so much) stochastic analysis
- Weak error on the densities for the Euler scheme of stable additive SDEs with Hölder drift
- Weak Euler scheme for Lévy-driven stochastic differential equations
- On SDE and Semigroup Approximations and Large Deviations
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
- Variance reduction for simulated diffusions using control variates extracted from state space evaluations
- The rate function of hypoelliptic diffusions
- On irregular functionals of SDEs and the Euler scheme
- Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Edgeworth expansion for Euler approximation of continuous diffusion processes
- Pseudo-moderate deviations in the euler method for real diffusion process
- A numerical scheme for stochastic differential equations with distributional drift
- Numerical analysis of the advection-diffusion of a solute in porous media with uncertainty
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