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Displaying similar documents to “The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations”

Milstein’s type schemes for fractional SDEs

Mihai Gradinaru, Ivan Nourdin (2009)

Annales de l'I.H.P. Probabilités et statistiques

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Weighted power variations of fractional brownian motion are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by . The limit of the error between the exact solution and the considered scheme is computed explicitly.

Approximation of stochastic differential equations driven by α-stable Lévy motion

Aleksander Janicki, Zbigniew Michna, Aleksander Weron (1997)

Applicationes Mathematicae

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In this paper we present a result on convergence of approximate solutions of stochastic differential equations involving integrals with respect to α-stable Lévy motion. We prove an appropriate weak limit theorem, which does not follow from known results on stability properties of stochastic differential equations driven by semimartingales. It assures convergence in law in the Skorokhod topology of sequences of approximate solutions and justifies discrete time schemes applied in computer...