An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

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

zbMATH Keywords

Wasserstein metricdiffusion processEuler schemequantile coupling technique

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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