A duality approach for the weak approximation of stochastic differential equations

• 成果类型: Article
• 署名作者: Clement, Emmanuelle; Kohatsu-Higa, Arturo; Lamberton, Damien
• 署名单位: Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); University of Osaka
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000060
• 发表日期: 2006
• 页码: 1124-1154
• 关键词: malliavin calculus; delay equations

摘要

In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach considered here uses the properties of the linear equation satisfied by the error process. This methodology seems to apply to a large class of processes and we present as an example the weak approximation of stochastic delay equations.