On some non asymptotic bounds for the Euler scheme

DOI10.1214/EJP.V15-814zbMath1225.60117arXiv1001.1347MaRDI QIDQ638339

Stéphane Menozzi, Vincent Lemaire

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1347

zbMATH Keywords

discretization schemesGaussian concentrationnon-asymptotic Monte Carlo bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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