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math.PR2020★ 1 cited
-error estimates for approximation of irregular functionals of random vectors
Dai Taguchi, Akihiro Tanaka, Tomooki Yuasa
Avikainen showed that, for any , and any function of bounded variation in , it holds that $\mathbb{E}[|f(X)-f(\widehat{X})|^{q}] \leq C(p,q) \ma…
math.PR2020
An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
Jirô Akahori, Masahiro Kinuya, Takashi Sawai +1
We will introduce Euler-Maruyama approximations given by an orthogonal system in for high dimensional SDEs, which could be finite dimensional approximations of SPDEs.…