Electronic Journal of Probability

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

Valentin Konakov and Stéphane Menozzi

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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.

Article information

Electron. J. Probab., Volume 22 (2017), paper no. 46, 47 pp.

Received: 4 April 2016
Accepted: 28 March 2017
First available in Project Euclid: 11 May 2017

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60H10: Stochastic ordinary differential equations [See also 34F05]
Secondary: 65C30: Stochastic differential and integral equations

diffusion processes Euler scheme parametrix Hölder coefficients Piecewise smooth bounded drifts

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Konakov, Valentin; Menozzi, Stéphane. Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients. Electron. J. Probab. 22 (2017), paper no. 46, 47 pp. doi:10.1214/17-EJP53. https://projecteuclid.org/euclid.ejp/1494489631

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