Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme

DOI10.1214/EJP.v20-4195MaRDI QIDQ2515937

Arturo Kohatsu-Higa, Benjamin Jourdain, Aurélien Alfonsi

Publication date: 7 August 2015

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

Full work available at URL: https://arxiv.org/abs/1405.7007

zbMATH Keywords

Euler schemeWasserstein distanceoptimal transport

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Optimality conditions (49K99)

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