Abstract
It is well known that the strong error approximation in the space of continuous paths equipped with the supremum norm between a diffusion process, with smooth coefficients, and its Euler approximation with step
Citation
Emmanuelle Clément. Arnaud Gloter. "An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient." Ann. Appl. Probab. 27 (4) 2419 - 2454, August 2017. https://doi.org/10.1214/16-AAP1263
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