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Edgeworth type expansions for Euler schemes for stochastic differential equations

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  • Konakov Valentin
  • Mammen Enno

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  • Konakov Valentin & Mammen Enno, 2002. "Edgeworth type expansions for Euler schemes for stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 8(3), pages 271-286, December.
  • Handle: RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3
    DOI: 10.1515/mcma.2002.8.3.271
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    References listed on IDEAS

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    1. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Konakov, Valentin & Mammen, Enno, 2001. "Local approximations of Markov random walks by diffusions," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 73-98, November.
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    Cited by:

    1. Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
    2. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.

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