• 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}
}
• Published 21 June 2022
• Mathematics, Computer Science
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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