The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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Publication:4716056
DOI10.1515/MCMA.1996.2.2.93zbMath0866.60049OpenAlexW2077315519MaRDI QIDQ4716056
Publication date: 20 July 1997
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00074016/file/RR-2675.pdf
small perturbationapproximation problemEuler discretization schemenondegeneracy condition of Hörmander type
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99)
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