Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes

DOI10.1515/mcma-2016-0120zbMath1359.60046OpenAlexW2589816849MaRDI QIDQ515534

Clément Rey

Publication date: 16 March 2017

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://www.degruyter.com/view/j/mcma.2017.23.issue-1/mcma-2016-0120/mcma-2016-0120.xml?format=INT

zbMATH Keywords

Malliavin calculusinvariance principlesapproximation schemesdiffusion processestotal variation distance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)

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