The law of the Euler scheme for stochastic differential equations: II. Convergence rate of the density

Monte Carlo Methods and Applications

Volumn 2, Issue 2, 1996, Pages 93-128

  Bally, Vlad ^a,b   Talay, Denis ^c  

^a UNIVERSITÉ DU MAINE   (France)

^b University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

^c INRIA   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002308425     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.1996.2.2.93     Document Type: Article

References (14)

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13. D. Talay. Simulation and numerical analysis of stochastic differential systems: a review. In P. Krée and W. Wedig, editors, Probabilistic Methods in Applied Physics, volume 451 of Lecture Notes in Physics, chap. 3, p. 54-96. Springer-Verlag, (1995).
14. D. Talay and L. Tubaro. Expansion of the global error for numerical schemes solving stochastic differential equations. Stochastic Analysis and Applications, (1990), 8, 4, 94-120.