Abstract
In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-dimensional diffusion process and its Euler discretization with
Citation
A. Alfonsi. B. Jourdain. A. Kohatsu-Higa. "Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme." Ann. Appl. Probab. 24 (3) 1049 - 1080, June 2014. https://doi.org/10.1214/13-AAP941
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