Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift (Q2012594): Difference between revisions

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Property / DOI: 10.1016/j.cam.2017.05.015 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.cam.2017.05.015 / rank
 
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Latest revision as of 18:41, 16 December 2024

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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
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    Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift (English)
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    1 August 2017
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    stochastic differential equation
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    Euler-Maruyama scheme
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    discontinuous drift
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    weak rate of convergence
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    Malliavin calculus
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    regularization
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