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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	352-363
Nombre de pages	12
journal	Electronic Communications in Probability
Volume	13
Les DOIs	https://doi.org/10.1214/ECP.v13-1393
état	Publié - 1 janv. 2008
Modification externe	Oui

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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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M3 - Article

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VL - 13

SP - 352

EP - 363

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

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

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