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Weak approximation of SDEs for tempered distributions and applications

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Weak approximation of SDEs for tempered distributions and applications. / Iguchi, Y.; Yamada, Toshihiro.
In: Advances in Computational Mathematics, Vol. 48, 52, 01.08.2022.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Iguchi, Y & Yamada, T 2022, 'Weak approximation of SDEs for tempered distributions and applications', Advances in Computational Mathematics, vol. 48, 52. https://doi.org/10.1007/s10444-022-09960-4

APA

Iguchi, Y., & Yamada, T. (2022). Weak approximation of SDEs for tempered distributions and applications. Advances in Computational Mathematics, 48, Article 52. https://doi.org/10.1007/s10444-022-09960-4

Vancouver

Iguchi Y, Yamada T. Weak approximation of SDEs for tempered distributions and applications. Advances in Computational Mathematics. 2022 Aug 1;48:52. doi: 10.1007/s10444-022-09960-4

Author

Iguchi, Y. ; Yamada, Toshihiro. / Weak approximation of SDEs for tempered distributions and applications. In: Advances in Computational Mathematics. 2022 ; Vol. 48.

Bibtex

@article{8cfa95ffc01f4cf9ac835c5818724f7d,
title = "Weak approximation of SDEs for tempered distributions and applications",
abstract = "The paper shows a new weak approximation for generalized expectation of composition of a Schwartz tempered distribution and a solution to stochastic differential equation. Any order discretization is provided by using stochastic weights which do not depend on the Schwartz distribution. The error bound is obtained through stochastic analysis, which is consistent with the results of numerical experiments. It can also be confirmed that the proposed approximation gives high numerical accuracy.",
author = "Y. Iguchi and Toshihiro Yamada",
year = "2022",
month = aug,
day = "1",
doi = "10.1007/s10444-022-09960-4",
language = "English",
volume = "48",
journal = "Advances in Computational Mathematics",
issn = "1019-7168",
publisher = "Springer Netherlands",

}

RIS

TY - JOUR

T1 - Weak approximation of SDEs for tempered distributions and applications

AU - Iguchi, Y.

AU - Yamada, Toshihiro

PY - 2022/8/1

Y1 - 2022/8/1

N2 - The paper shows a new weak approximation for generalized expectation of composition of a Schwartz tempered distribution and a solution to stochastic differential equation. Any order discretization is provided by using stochastic weights which do not depend on the Schwartz distribution. The error bound is obtained through stochastic analysis, which is consistent with the results of numerical experiments. It can also be confirmed that the proposed approximation gives high numerical accuracy.

AB - The paper shows a new weak approximation for generalized expectation of composition of a Schwartz tempered distribution and a solution to stochastic differential equation. Any order discretization is provided by using stochastic weights which do not depend on the Schwartz distribution. The error bound is obtained through stochastic analysis, which is consistent with the results of numerical experiments. It can also be confirmed that the proposed approximation gives high numerical accuracy.

U2 - 10.1007/s10444-022-09960-4

DO - 10.1007/s10444-022-09960-4

M3 - Journal article

VL - 48

JO - Advances in Computational Mathematics

JF - Advances in Computational Mathematics

SN - 1019-7168

M1 - 52

ER -