The global error in weak approximations of stochastic differential equations
In this thesis, the convergence analysis of a class of weak approximations of solutions of stochastic differential equations is presented. This class includes recent approximations such as Kusuoka’s moment similar families method and the Lyons-Victoir cubature of Wiener Space approach. It is shown t...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
Imperial College London
2007
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.484719 |