The law of the Euler scheme for stochastic differential equations: I. Convergence rate of the distribution function

Probability Theory and Related Fields

Volumn 104, Issue 1, 1996, Pages 43-60

  Bally, V ^a   Talay, D ^b  

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

^b INRIA   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030560429     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01303802     Document Type: Article

References (14)

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3. Ikeda, N., Watanabe, S.: Stochastic differential equations and diffusion processes. Amsterdam: North-Holland 1981
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5. Kusuoka, S., Stroock, D.: Applications of the Malliavin calculus, part II. J. Fac. Sci. Univ. Tokyo 32, 1-76 (1985)
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8. Newton, N. J.: Variance reduction for simulated diffusions. SIAM J. appl. Math. (to appear)
9. Nualart, D.: Malliavin calculus and related topics, Springer-Verlag 1995
10. Pardoux, E.: Filtrage non linéaire et équations aux dérivées partielles stochastiques associées. In: Cours à l'Ecole d'Eté de Probabilités de Saint-Flour XIX (Lect. Notes Math., vol. 1464) Berlin: Springer 1991
11. Protter, P., Talay, D.: The Euler scheme for Levy driven stochastic differential equations (submitted)
12. Talay, D.: Efficient numerical schemes for the approximation of expectations of functionals of S.D.E. In: Szpirglas, J., Korezlioglu, H., Mazziotto, G.: Filtering and control of ramdom processes (Lect. Notes Control and Information Sciences, vol. 61, Proc. ENST-CNET Coll., Paris, 1983) Berlin: Springer 1984
13. Talay, D.: Discrétisation d'une E.D.S. et calcul approché d' espérances de fonctionnelles de la solution. Math. Modelling Numer. Anal. 20, 141-179 (1986)
14. Talay, D., Tubaro, L.: Expansion of the global error for numerical schemes solving stochastic differential equations. Stochastic Anal. Appl. 8, 94-120 (1990)