Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise

DOI10.1137/20M1371774zbMath1506.65019arXiv2005.09354OpenAlexW3027557305MaRDI QIDQ5093635

O. Bencheikh, Benjamin Jourdain

Publication date: 29 July 2022

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.09354

zbMATH Keywords

stochastic differential equationdiffusion processesEuler schemeweak error analysisnonstandard assumptions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise ⋮ Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme

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