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A Malliavin Calculus Approach to Weak Convergence

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Part of the Lecture Notes in Mathematics book series (LNM,volume 2093)

Abstract

The aim of this chapter is to present a new technique to analyze the weak error of convergence of spatially semidiscrete approximations and spatio-temporal discretizations of the solution of a linear stochastic evolution equation with additive noise.

Keywords

  • Mild Solution
  • Error Representation
  • Representation Formula
  • Stochastic Evolution Equation
  • Malliavin Calculus

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Kruse, R. (2014). A Malliavin Calculus Approach to Weak Convergence. In: Strong and Weak Approximation of Semilinear Stochastic Evolution Equations. Lecture Notes in Mathematics, vol 2093. Springer, Cham. https://doi.org/10.1007/978-3-319-02231-4_5

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