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How buoyancy-driven circulations shape momentum transport within the convective boundary layer: insights from Doppler lidar

Nuijens L, Neto JD.
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Weak Convergence

Stochastic Limit Theory, 2021
This chapter reviews the theory of weak convergence in metric spaces. Topics include Skorokhod’s representation theorem, the metrization of spaces of measures, and the concept of tightness of probability measures.
James Davidson
semanticscholar   +2 more sources

Discretizing the Heston Model: An Analysis of the Weak Convergence Rate

, 2016
In this manuscript we analyze the weak convergence rate of a discretization scheme for the Heston model. Under mild assumptions on the smoothness of the payoff and on the Feller index of the volatility process, respectively, we establish a weak ...
Martin Altmayer, A. Neuenkirch
semanticscholar   +3 more sources

Weak Convergence

Compact Textbooks in Mathematics, 2020
Omar A. Khalil, Ruikun Luo, Anthony Della Pella, Xianan Huang   +3 more
semanticscholar   +4 more sources

Weak and Weak-* Convergence

An Introduction to Functional Analysis, 2020

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Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients

Stochastic Processes and their Applications, 2021
We propose a full discretization to approximate the invariant measure numerically for parabolic stochastic partial differential equations (SPDEs) with non-globally Lipschitz coefficients.
J. Cui, Jialin Hong, Liying Sun
semanticscholar   +1 more source

Weak Convergence Rates for an Explicit Full-Discretization of Stochastic Allen–Cahn Equation with Additive Noise

Journal of Scientific Computing, 2019
We discretize the stochastic Allen–Cahn equation with additive noise by means of a spectral Galerkin method in space and a tamed version of the exponential Euler method in time.
Meng Cai, S. Gan, Xiaojie Wang
semanticscholar   +1 more source

Extended weak convergence and utility maximisation with proportional transaction costs

Finance and Stochastics, 2019
In this paper, we study utility maximisation with proportional transaction costs. Assuming extended weak convergence of the underlying processes, we prove the convergence of the time-0 values of the corresponding utility maximisation problems.
Erhan Bayraktar, L. Dolinskyi, Y. Dolinsky   +2 more
semanticscholar   +1 more source