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2008 Sharp estimates for the convergence of the density of the Euler scheme in small time
Emmanuel Gobet, Céline Labart
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Electron. Commun. Probab. 13: 352-363 (2008). DOI: 10.1214/ECP.v13-1393

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.

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Emmanuel Gobet. Céline Labart. "Sharp estimates for the convergence of the density of the Euler scheme in small time." Electron. Commun. Probab. 13 352 - 363, 2008. https://doi.org/10.1214/ECP.v13-1393

Information

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

zbMATH: 1188.65007
MathSciNet: MR2415143
Digital Object Identifier: 10.1214/ECP.v13-1393

Subjects:
Primary: 65C20
Secondary: 60H07, 60H10, 60J60, 65G99, 65M15

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