Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
| dc.creator | Yan, Liqing | |
| dc.date | 2006-02-21 | |
| dc.date.accessioned | 2026-07-07T07:03:39Z | |
| dc.date.available | 2026-07-07T07:03:39Z | |
| dc.description | A Milstein-type scheme was proposed to improve the rate of convergence of its approximation of the solution to a stochastic differential equation driven by a vector of continuous semimartingales. A necessary and sufficient condition was provided for this rate to be $1/n$ when the SDE is driven by a vector of continuous local martingales, or continuous semimartingales under an additional assumption on their finite variation part. The asymptotic behavior (weak convergence) of the normalized error processes was also studied. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051605000000520 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0602465 | |
| dc.identifier | http://arxiv.org/abs/math/0602465 | |
| dc.identifier | Annals of Applied Probability 2005, Vol. 15, No. 4, 2706-2738 | |
| dc.identifier | doi:10.1214/105051605000000520 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/109054 | |
| dc.subject | Probability | |
| dc.subject | 60H10, 60H35 (Primary) 65C05, 60F05, 68U20 (Secondary) | |
| dc.title | Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales | |
| dc.type | text |