A duality approach for the weak approximation of stochastic differential equations (Q862201): Difference between revisions

The paper deals with the numerical resolution for a large class of stochastic equations, including SDEs, delay SDEs, etc. The main objective is to establish the best weak convergence rate for an Euler scheme. Since the PDE does not fit well in the concerned framework, the authors explore essentially a technique from Malliavin calculus, namely, the formula of integration by parts, seeing the stochastic integral as the divergence operator on the Wiener space. To show that the circle of interest goes beyond SDEs, the authors treat the application of the general theory to delay SDEs with attention and obtain the desired rate of convergence. This is an interesting and well written paper.