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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...
Autores principales: | Butkovsky, Oleg, Dareiotis, Konstantinos, Gerencsér, Máté |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2021
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Materias: | |
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 |
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