Strong and weak order of time discretization schemes of stochastic differential equations

[Be] G. Ben Arous, Flots et séries de Taylor stochastiques, Prob. Th. Rel. Fields, 81 (1989), 29–77.
Article MathSciNet Google Scholar
[Hu] Y.Z. Hu, Séries de Taylor stochastiques et formule de Campbell-Hausdorff, d’après Ben Arous, Sem. Prob. XXVI, Lect. notes in Math. 1526, Springer, 1992, 587–594.
Article Google Scholar
[HW] Y.Z. Hu and S. Watanabe, Donsker’s delta functions and approximation of heat kernels by time discretization method, preprint, 1995.
Google Scholar
[KP] P. E. Kloeden and E. Platen, Numerical Solutions of Stochastic Differential Equations, Springer-Verlag, 1992.
Google Scholar
[Me] P. A. Meyer, Sur deux estimations d’intégrales multiples, Sem. Prob. XXV, Lecture Notes in Mathematics 1458, Springer 1991, 425–426.
Article Google Scholar
[Øk] B. Øksendal, Stochastic Differential Equations, Springer, 1985.
Google Scholar

Download references

Authors

Yaozhong Hu
View author publications
You can also search for this author in PubMed Google Scholar

Editor information

Jacques Azéma Marc Yor Michel Emery

Rights and permissions

Reprints and permissions

Copyright information

About this chapter

Cite this chapter

Hu, Y. (1996). Strong and weak order of time discretization schemes of stochastic differential equations. In: Azéma, J., Yor, M., Emery, M. (eds) Séminaire de Probabilités XXX. Lecture Notes in Mathematics, vol 1626. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0094650

Download citation

DOI: https://doi.org/10.1007/BFb0094650
Published: 16 October 2006
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-61336-7
Online ISBN: 978-3-540-68463-3
eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Strong and weak order of time discretization schemes of stochastic differential equations

Access this chapter

Preview

References