The strong weak convergence of the quasi-EA (Q351502): Difference between revisions

For the simulation of diffusion processes, essentially the drifted Brownian motions, the exact algorithm (EA) is based on the rejection method of a Poisson point process constructed by the Girsanov structure of the target diffusion with respect to a biased Brownian motion. In the present paper, the quasi-exact algorithm is suggested, where the rejection is neglected. The authors prove that under mild conditions, the process of the quasi-exact algorithm converges to the diffusion in the distance of total variation and that there exists a Markov coupling.