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

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

19 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Numéro d'article	46
journal	Electronic Journal of Probability
Volume	22
Les DOIs	https://doi.org/10.1214/17-EJP53
état	Publié - 1 janv. 2017
Modification externe	Oui

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title = "Weak error for the euler scheme approximation of diffusions with non-smooth coefficients",

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.",

keywords = "Diffusion processes, Euler scheme, H{\"o}lder coefficients, Parametrix, Piecewise smooth bounded drifts",

author = "Valentin Konakov and St{\'e}phane Menozzi",

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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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AN - SCOPUS:85019239642

SN - 1083-6489

VL - 22

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

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ER -

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

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