Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

2002 ◽  
Vol 8 (1) ◽  
Author(s):  
Kestutis Kubilius ◽  
Eckhard Platen
Keyword(s):  
Weak Convergence ◽  
Diffusion Processes ◽  
Euler Approximation

Weak convergence of symmetric diffusion processes

1997 ◽  
Vol 109 (2) ◽  
pp. 159-182 ◽  
Author(s):  
Kazuhiro Kuwae ◽  
Toshihiro Uemura
Keyword(s):  
Weak Convergence ◽  
Diffusion Processes ◽  
Symmetric Diffusion

Weak convergence of diffusion processes on Wiener space

2007 ◽  
Vol 140 (1-2) ◽  
pp. 1-17 ◽  
Author(s):  
Alexander V. Kolesnikov
Keyword(s):  
Weak Convergence ◽  
Diffusion Processes ◽  
Wiener Space

scholarly journals Edgeworth expansion for Euler approximation of continuous diffusion processes

2020 ◽  
Vol 30 (4) ◽  
pp. 1971-2003
Author(s):  
Mark Podolskij ◽  
Bezirgen Veliyev ◽  
Nakahiro Yoshida
Keyword(s):  
Edgeworth Expansion ◽  
Diffusion Processes ◽  
Euler Approximation

scholarly journals HOMOGENIZATION OF A PERIODIC DEGENERATE SEMILINEAR ELLIPTIC PDE

2011 ◽  
Vol 11 (02n03) ◽  
pp. 475-493 ◽  
Author(s):  
ÉTIENNE PARDOUX ◽  
AHMADOU BAMBA SOW
Keyword(s):  
Differential Operator ◽  
Weak Convergence ◽  
Diffusion Processes ◽  
Probabilistic Method ◽  
Second Order ◽  
Elliptic Pde ◽  
Semilinear Elliptic ◽  
Terminal Time ◽  
Oscillating Coefficients ◽  
Order Part

In this paper, a semilinear elliptic PDE with rapidly oscillating coefficients is homogenized. The novelty of our result lies in the fact that we allow the second order part of the differential operator to be degenerate in some portion of ℝd. Our fully probabilistic method is based on the connection between PDEs and BSDEs with random terminal time and the weak convergence of a class of diffusion processes.

Rate of Convergence of the Euler Approximation for Diffusion Processes

1991 ◽  
Vol 151 (1) ◽  
pp. 233-239 ◽  
Author(s):  
Remigius Mikulevicius ◽  
Eckhard Plate
Keyword(s):  
Rate Of Convergence ◽  
Diffusion Processes ◽  
Euler Approximation

Weak convergence of Markov-modulated diffusion processes with rapid switching

2014 ◽  
Vol 86 ◽  
pp. 74-79 ◽  
Author(s):  
Gang Huang ◽  
Michel Mandjes ◽  
Peter Spreij
Keyword(s):  
Weak Convergence ◽  
Diffusion Processes ◽  
Markov Modulated ◽  
Rapid Switching

Meridional Circulation, Turbulence, and Diffusion Processes in Stars

1976 ◽  
Vol 32 ◽  
pp. 109-116 ◽  
Author(s):  
S. Vauclair
Keyword(s):  
Convection Zone ◽  
Diffusion Processes ◽  
Meridional Circulation ◽  
Diffusion Time ◽  
Work In Progress ◽  
First Results ◽  
Stellar Envelopes ◽  
And Diffusion ◽  
Turbulence And Diffusion ◽  
Hr Diagram

This paper gives the first results of a work in progress, in collaboration with G. Michaud and G. Vauclair. It is a first attempt to compute the effects of meridional circulation and turbulence on diffusion processes in stellar envelopes. Computations have been made for a 2 Mʘstar, which lies in the Am - δ Scuti region of the HR diagram.Let us recall that in Am stars diffusion cannot occur between the two outer convection zones, contrary to what was assumed by Watson (1970, 1971) and Smith (1971), since they are linked by overshooting (Latour, 1972; Toomre et al., 1975). But diffusion may occur at the bottom of the second convection zone. According to Vauclair et al. (1974), the second convection zone, due to He II ionization, disappears after a time equal to the helium diffusion time, and then diffusion may happen at the bottom of the first convection zone, so that the arguments by Watson and Smith are preserved.

Ergodic Control of Diffusion Processes

2009 ◽  
Author(s):  
Ari Arapostathis ◽  
Vivek S. Borkar ◽  
Mrinal K. Ghosh
Keyword(s):  
Diffusion Processes ◽  
Ergodic Control

NMR-Study of Structure and Diffusion Processes in Li3N

1980 ◽  
Vol 41 (C6) ◽  
pp. C6-28-C6-31 ◽  
Author(s):  
R. Messer ◽  
H. Birli ◽  
K. Differt
Keyword(s):  
Diffusion Processes ◽  
Nmr Study ◽  
And Diffusion
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