scholarly journals A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance

2006 ◽  
Vol 22 (4) ◽  
pp. 435-458 ◽  
Author(s):  
Giray Ökten ◽  
Bruno Tuffin ◽  
Vadim Burago
Keyword(s):  
Monte Carlo ◽  
Central Limit Theorem ◽  
Limit Theorem ◽  
Central Limit ◽  
Error Bounds ◽  
Computational Finance ◽  
Hybrid Monte Carlo ◽  
Monte Carlo Sequence

scholarly journals Asymptotic expansions for Yosida approximations of semigroups

2008 ◽  
Vol 48 ◽  
Author(s):  
Monika Vilkienė
Keyword(s):  
Central Limit Theorem ◽  
Limit Theorem ◽  
Central Limit ◽  
Error Bounds ◽  
Asymptotic Expansions ◽  
Convergence Rates ◽  
Optimal Error ◽  
Approximation Formulas ◽  
Optimal Convergence Rates ◽  
Optimal Bounds

In this paper we provide asymptotic expansions for Yosida approximations of contraction semigroups. We also obtain optimal bounds for convergencerate and remainder terms of asymptotic expansions. We use a method introduced in [2] for analysis of errors in Central Limit Theorem and in approximations by accompanying laws. This method was applied in [3] to obtain optimal convergence rates in some approximation formulas for operators and in [10] to obtain asymtotic expansions and optimal error bounds for Euler’s approximations of semigroups.

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