• Corpus ID: 119645667

Weak error analysis via functional It\^o calculus

  title={Weak error analysis via functional It\^o calculus},
  author={Mih'aly Kov'acs and Felix Lindner},
  journal={arXiv: Probability},
We consider autonomous stochastic ordinary differential equations (SDEs) and weak approximations of their solutions for a general class of sufficiently smooth path-dependent functionals f. Based on tools from functional It\^o calculus, such as the functional It\^o formula and functional Kolmogorov equation, we derive a general representation formula for the weak error $E(f(X_T)-f(\tilde X_T))$, where $X_T$ and $\tilde X_T$ are the paths of the solution process and its approximation up to time T… 


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