most citedAn operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs

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math.PR2009★ 24 cited

An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs

Hideyuki Tanaka, Arturo Kohatsu-Higa

Weak approximations have been developed to calculate the expectation value of functionals of stochastic differential equations, and various numerical discretization schemes (Euler,…