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Higher-Order Weak Approximation of Ito Diffusions by Markov Chains

Published online by Cambridge University Press:  27 July 2009

Eckhaard Platen
Eckhaard Platen
Affiliation:
Karl-Weierstrass-Institute of Mathematics Mohrenstr. 39 1086 Berlin, Germany
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Abstract

This paper proposes a method that allows the construction of discrete-state Markov chains approximating an Ito-diffusion process. The transition probabilities of the Markov chains are chosen in such a way that functionals converge with a desired weak order with respect to vanishing step size under sufficient smoothness assumptions.

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Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 6 , Issue 3 , July 1992 , pp. 391 - 408
Copyright
Copyright © Cambridge University Press 1992

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