Approximation of SDEs: a stochastic sewing approach

We give a new take on the error analysis of approximations of stochastic differential equations (SDEs), utilizing and developing the stochastic sewing lemma of Lê (Electron J Probab 25:55, 2020. 10.1214/20-EJP442). This approach allows one to exploit regularization by noise effects in obtaining conv...

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Detalles Bibliográficos
Autores principales: Butkovsky, Oleg, Dareiotis, Konstantinos, Gerencsér, Máté
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8613171/
https://www.ncbi.nlm.nih.gov/pubmed/34898772
http://dx.doi.org/10.1007/s00440-021-01080-2

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8613171/
https://www.ncbi.nlm.nih.gov/pubmed/34898772
http://dx.doi.org/10.1007/s00440-021-01080-2

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