Sharp estimates for the convergence of the density of the Euler scheme in small time

DOI10.1214/ECP.v13-1393zbMath1188.65007OpenAlexW2070388948MaRDI QIDQ1038891

Céline Labart, Emmanuel Gobet

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/224071

zbMATH Keywords

stochastic differential equationrate of convergenceMalliavin calculusEuler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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