Sharp estimates for the convergence of the density of the euler scheme in small time

Emmanuel Gobet; Céline Labart

doi:10.1214/ECP.v13-1393

Sharp estimates for the convergence of the density of the euler scheme in small time

Emmanuel Gobet
, Céline Labart

LTHE (UMR 5564 CNRS/IRD/Université de Grenoble)
Ecole polytechnique

Research output: Contribution to journal › Article › peer-review

Abstract

In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.

Original language	English
Pages (from-to)	352-363
Number of pages	12
Journal	Electronic Communications in Probability
Volume	13
DOIs	https://doi.org/10.1214/ECP.v13-1393
Publication status	Published - 1 Jan 2008
Externally published	Yes

Keywords

Euler scheme
Malliavin calculus
Rate of convergence
Stochastic differential equation

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10.1214/ECP.v13-1393

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abstract = "In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.",

keywords = "Euler scheme, Malliavin calculus, Rate of convergence, Stochastic differential equation",

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AU - Labart, Céline

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N2 - In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.

AB - In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.

KW - Euler scheme

KW - Malliavin calculus

KW - Rate of convergence

KW - Stochastic differential equation

UR - https://www.scopus.com/pages/publications/46349104835

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DO - 10.1214/ECP.v13-1393

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AN - SCOPUS:46349104835

SN - 1083-589X

VL - 13

SP - 352

EP - 363

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

Sharp estimates for the convergence of the density of the euler scheme in small time

Abstract

Keywords

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