Regular Weak Taylor Approximations
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In this chapter we present for the case with jumps regular weak approximations obtained directly from a truncated Wagner-Platen expansion. The desired weak order of convergence determines which terms of the stochastic expansion have to be included in the approximation. These weak Taylor schemes are different from the regular strong Taylor schemes presented in Chap. 6. We will see that the construction of weak schemes requires a separate analysis. A convergence theorem, which allows us to construct weak Taylor approximations of any given weak order, will be presented at the end of this chapter.
KeywordsWiener Process Euler Scheme Stochastic Integral Weak Order Jump Time
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