• Corpus ID: 249889645

An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations

@inproceedings{Hocquet2022AnAO,
  title={An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations},
  author={Antoine Hocquet and Alexander Vogler},
  year={2022}
}
We introduce a variant of the multiplicative Sewing Lemma in [Gerasimoviˇcs, Hocquet, Nilssen; J. Funct. Anal. 281 (2021)] which yields arbitrary high order weak approximations to stochastic differential equations, extending the cubature approximation on Wiener space introduced by Lyons and Victoir. Our analysis allows to derive stability estimates and explicit weak convergence rates. As a particular example, a cubature approximation for stochastic differential equations driven by continuous… 

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