A duality approach for the weak approximation of stochastic differential equations

Details A duality approach for the weak approximation of stochastic differential equations A duality approach for the weak approximation of stochastic differential equations

2006-10-05

arxiv.org/abs/math/0610178v1

Annals of Applied Probability 2006, Vol. 16, No. 3, 1124-1154

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051606000000060 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051606000000060

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.

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