An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient
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Publication:1676446
DOI10.1214/16-AAP1263zbMath1422.65019MaRDI QIDQ1676446
Arnaud Gloter, Emmanuelle Clément
Publication date: 7 November 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1504080037
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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