Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme

DOI10.1214/13-AAP941zbMath1296.65010arXiv1209.0576OpenAlexW2140031057MaRDI QIDQ2454403

Aurélien Alfonsi, Arturo Kohatsu-Higa, Benjamin Jourdain

Publication date: 13 June 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.0576

zbMATH Keywords

Euler schemeWasserstein distancediffusion bridgesone-dimensional stochastic differential equationweak trajectorial error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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