Markov chain approximations to stochastic differential equations by recombination on lattice trees
We revisit the classical problem of approximating a stochastic differential equation by a discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's theorem over time to match the moments of the increments locally. This allows to construct a Markov chain with a spar...
| Main Authors: | , , |
|---|---|
| Format: | Internet publication |
| Language: | English |
| Published: |
2021
|