A Donsker theorem to simulate one-dimensional processes with measurable coefficients

DOI10.1051/ps:2007021zbMath1181.60123OpenAlexW2146647016MaRDI QIDQ5429606

Antoine Lejay, Pierre Étoré

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__301_0

zbMATH Keywords

Monte Carlo methodsFeynman-Kac formulascale functiondivergence form operatorsone-dimensional processdonsker theoremelliptic PDE problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60)

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