The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
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Publication:1897655
DOI10.1016/0378-4754(93)E0064-CzbMath0824.60056OpenAlexW2026886398MaRDI QIDQ1897655
Publication date: 31 October 1995
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0064-c
stochastic differential equationconvergence rateMalliavin's calculusHörmander conditionapproximation problemEuler discretization scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
