Advertisement

Regular Weak Taylor Approximations

  • Eckhard PlatenEmail author
  • Nicola Bruti-Liberati
Chapter
  • 4.7k Downloads
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 64)

Abstract

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.

Keywords

Wiener Process Euler Scheme Stochastic Integral Weak Order Jump Time 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.School of Finance and Economics, Department of Mathematical SciencesUniversity of Technology, SydneyBroadwayAustralia

Personalised recommendations