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

Electronic Communications in Probability

Volumn 13, Issue , 2008, Pages 352-363

  Gobet, Emmanuel ^a   Labart, Céline ^b  

^a UNIV GRENOBLE ALPES   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Euler scheme; Malliavin calculus; Rate of convergence; Stochastic differential equation

Indexed keywords

EID: 46349104835     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v13-1393     Document Type: Article

References (8)

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3. Friedman A., 1964. Partial differential equations of parabolic type. Prentice-Hall Inc., Englewood Cliffs, N. J.
4. Guyon J., 2006. Euler schemes and tempered distributions. Stochastic Processes and their Applications, 116, 877-904.
5. Konakov V., Mammen E., 2002. Edgeworth type expansions for Euler schemes for stochastic differential equations. Monte Carlo Methods Appl, 8(3), 271-285.
6. Kusuoka S. Stroock D., 1984. Applications to the Malliavin calculus I. Stochastic Analysis, Proceeding of the Taniguchi International Symposium on Katata and Kyoto 1982. Kinokuniya, Tokyo, Itô K. Ed, 271-306.
7. Labart C., 2007. PhD Thesis, Ecole Polytechnique, Paris. Available at http://pastel.paristech.org/3086/
8. Nualart D., 2006. Malliavin Calculus and Related Topics (2nd Edition). Springer-Verlag, New York.