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

DOI10.1214/EJP.v20-4195arXiv1405.7007MaRDI QIDQ6251884

Arturo Kohatsu-Higa, Benjamin Jourdain, Aurélien Alfonsi

Publication date: 27 May 2014

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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