IDEAS home Printed from https://ideas.repec.org/a/bpj/mcmeap/v8y2002i3p271-286n3.html
   My bibliography  Save this article

Edgeworth type expansions for Euler schemes for stochastic differential equations

Author

Listed:
  • Konakov Valentin
  • Mammen Enno

Abstract

No abstract is available for this item.

Suggested Citation

  • Konakov Valentin & Mammen Enno, 2002. "Edgeworth type expansions for Euler schemes for stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 8(3), pages 271-286, December.
    • Handle: RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3
    DOI: 10.1515/mcma.2002.8.3.271
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/mcma.2002.8.3.271
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/mcma.2002.8.3.271?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Konakov, Valentin & Mammen, Enno, 2001. "Local approximations of Markov random walks by diffusions," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 73-98, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
    2. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mikulevicius, Remigijus & Zhang, Changyong, 2011. "On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1720-1748, August.
    2. I. Lubashevsky & M. Hajimahmoodzadeh & A. Katsnelson & P. Wagner, 2003. "Noised-induced phase transition in an oscillatory system with dynamical traps," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 36(1), pages 115-118, November.
    3. Ding-Geng Chen & Haipeng Gao & Chuanshu Ji, 2021. "Bayesian Inference for Stochastic Cusp Catastrophe Model with Partially Observed Data," Mathematics, MDPI, vol. 9(24), pages 1-9, December.
    4. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
    5. Küchler, Uwe & Platen, Eckhard, 2002. "Weak discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(6), pages 497-507.
    6. I. A. Lubashevsky & R. Mahnke & M. Hajimahmoodzadeh & A. Katsnelson, 2005. "Long-lived states of oscillator chains with dynamical traps," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 44(1), pages 63-70, March.
    7. Gao, Jianfang & Liang, Hui & Ma, Shufang, 2019. "Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay," Applied Mathematics and Computation, Elsevier, vol. 348(C), pages 385-398.
    8. Kawar Badie Mahmood & Adil Sufian Husain, 2021. "Bernoulli’s Number One Solution for Stochastic Equilibrium," International Journal of Science and Business, IJSAB International, vol. 5(8), pages 194-201.
    9. Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.
    10. Wei Zhang & Hui Min, 2021. "Weak Convergence Analysis and Improved Error Estimates for Decoupled Forward-Backward Stochastic Differential Equations," Mathematics, MDPI, vol. 9(8), pages 1-15, April.
    11. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006. "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 12(3), pages 191-209, October.
    12. Ganguly, Arnab & Sundar, P., 2021. "Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: Central limit theorem and moderate deviation asymptotics," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 74-110.
    13. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003.
    14. Kubilius Kestutis & Platen Eckhard, 2002. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 8(1), pages 83-96, December.
    15. Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
    16. Kamrani, Minoo & Hosseini, S. Mohammad, 2012. "Spectral collocation method for stochastic Burgers equation driven by additive noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(9), pages 1630-1644.
    17. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, July-Dece.
    18. Miccichè, S., 2023. "A numerical recipe for the computation of stationary stochastic processes’ autocorrelation function," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).
    19. Shuaiqiang Liu & Graziana Colonna & Lech A. Grzelak & Cornelis W. Oosterlee, 2023. "GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations," Papers 2302.05170, arXiv.org.
    20. Anna Knezevic, 2024. "Enhancing path-integral approximation for non-linear diffusion with neural network," Papers 2404.08903, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.