Weak error for the euler scheme approximation of diffusions with non-smooth coefficients

Valentin Konakov; Stéphane Menozzi

doi:10.1214/17-EJP53

Weak error for the euler scheme approximation of diffusions with non-smooth coefficients

Valentin Konakov
, Stéphane Menozzi

National Research University
Université d'Evry Val d'Essonne

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

19 Citations (Scopus)

Abstract

We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of Hölder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.

Original language	English
Article number	46
Journal	Electronic Journal of Probability
Volume	22
DOIs	https://doi.org/10.1214/17-EJP53
Publication status	Published - 1 Jan 2017
Externally published	Yes

Keywords

Diffusion processes
Euler scheme
Hölder coefficients
Parametrix
Piecewise smooth bounded drifts

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10.1214/17-EJP53

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abstract = "We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.",

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AU - Menozzi, Stéphane

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N2 - We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of Hölder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.

AB - We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of Hölder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.

KW - Diffusion processes

KW - Euler scheme

KW - Hölder coefficients

KW - Parametrix

KW - Piecewise smooth bounded drifts

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DO - 10.1214/17-EJP53

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VL - 22

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

M1 - 46

ER -

Weak error for the euler scheme approximation of diffusions with non-smooth coefficients

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Keywords

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