Abstract
The paper deals with weak approximations of stochastic differential equations of Itô type, where convergence rates of the approximate solutions are shown using E¦|·¦| C[t 0, T] P , p ϵ [2, ∞). The rates can also be interpreted as rates for the L p Wasserstein metrics, p ϵ [1, ∞), between the distributions of exact and approximate solutions. The two approximation schemes considered are a combination of the time discretization methods of Euler and Milshtein with a chance discretization based on the invariance principle, and they work on a grid constructed to tune both discretizations.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
