Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme

DOI10.1214/22-EJP881MaRDI QIDQ2105171

Gilles Pagès, Pierre Bras, Fabien Panloup

Publication date: 8 December 2022

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

Full work available at URL: https://arxiv.org/abs/2111.09605

zbMATH Keywords

total variationstochastic differential equationRichardson-Romberg extrapolationEuler-Maruyama schemeAronson's bounds

Mathematics Subject Classification ID

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

Related Items (2)

Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation ⋮ Small time chaos approximations for heat kernels of multidimensional diffusions

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