Electronic Communications in Probability

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

Emmanuel Gobet and Céline Labart

Full-text: Open access

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.

Article information

Source
Electron. Commun. Probab., Volume 13 (2008), paper no. 35, 352-363.

Dates
Accepted: 24 June 2008
First available in Project Euclid: 6 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465233462

Digital Object Identifier
doi:10.1214/ECP.v13-1393

Mathematical Reviews number (MathSciNet)
MR2415143

Zentralblatt MATH identifier
1188.65007

Subjects
Primary: 65C20: Models, numerical methods [See also 68U20]
Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H10: Stochastic ordinary differential equations [See also 34F05] 65G99: None of the above, but in this section 65M15: Error bounds 60J60: Diffusion processes [See also 58J65]

Keywords
stochastic differential equation Euler scheme rate of convergence Malliavin calculus

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Gobet, Emmanuel; Labart, Céline. Sharp estimates for the convergence of the density of the Euler scheme in small time. Electron. Commun. Probab. 13 (2008), paper no. 35, 352--363. doi:10.1214/ECP.v13-1393. https://projecteuclid.org/euclid.ecp/1465233462


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References

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