most citedWeak Convergence in the Prokhorov Metric of Methods for Stochastic Differential Equations

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math.NA2007★ 10 cited

Weak Convergence in the Prokhorov Metric of Methods for Stochastic Differential Equations

Benoit Charbonneau, Yuriy Svyrydov, P. F. Tupper

We consider the weak convergence of numerical methods for stochastic differential equations (SDEs). Weak convergence is usually expressed in terms of the convergence of expected va…