AN OPERATOR APPROACH FOR MARKOV CHAIN WEAK APPROXIMATIONS WITH AN APPLICATION TO INFINITE ACTIVITY L

@article{Tanaka2009ANOA,
  title={AN OPERATOR APPROACH FOR MARKOV CHAIN WEAK APPROXIMATIONS WITH AN APPLICATION TO INFINITE ACTIVITY L},
  author={Hideyuki Tanaka and Arturo Kohatsu-Higa},
  journal={Annals of Applied Probability},
  year={2009}
}
Weak approximations have been developed to calculate the expectation value of functionals of stochastic differential equations, and various numerical discretization schemes (Euler, Milshtein) have been studied by many authors. We present a general framework based on semigroup expansions for the construction of higher-order discretization schemes and analyze its rate of convergence. We also apply it to approximate general L\'{e}vy driven stochastic differential equations. 

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