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