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Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's · Study

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ChapterWong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's

Thomas G. Kurtz1991

Chapter1991

Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's

Thomas G. Kurtz · Philip E. Protter

105 citations·0/0 files stored·Elsevier eBooks

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Numerical methods for differential equations

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References

2014Stochastic Integration and Differential Equations : A New Approach 1965On the Convergence of Ordinary Integrals to Stochastic Integrals 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations 1985Discretization and simulation of stochastic differential equations 1989Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod

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2003An Introduction to Rough Paths 2007Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion 1996Weak convergence of stochastic integrals and differential equations 2005The approximate Euler method for Lévy driven stochastic differential equations 1995Almost sure approximation of Wong-Zakai type for stochastic partial differential equations 2004The Euler scheme for Lévy driven stochastic differential equations: limit theorems 2016Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions 2002Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process

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Year1991

Typechapter

Published1991-01-01

VenueElsevier eBooks

Languageen

Citations105

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-0-12-481005-1.50023-5

openalex_workW1549854265

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