Abstract
The dyadic method of Komlós, Major and Tusnády is a powerful way of constructing simultaneous normal approximations to a sequence of partial sums of i.i.d. random variables. We use a version of this KMT method to obtain order 1 approximation in a Vaserstein metric to solutions of vector SDEs under a mild non-degeneracy condition using an easily implemented numerical scheme.
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Davie, A. (2014). KMT Theory Applied to Approximations of SDE. In: Crisan, D., Hambly, B., Zariphopoulou, T. (eds) Stochastic Analysis and Applications 2014. Springer Proceedings in Mathematics & Statistics, vol 100. Springer, Cham. https://doi.org/10.1007/978-3-319-11292-3_7
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DOI: https://doi.org/10.1007/978-3-319-11292-3_7
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