An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

DOI10.1214/16-AAP1263MaRDI QIDQ1676446zbMATH OpenFDO

Authors Emmanuelle Clément, Arnaud Gloter

Publication date 7 November 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aoap/1504080037

zbMATH Keywords

diffusion processEuler schemequantile coupling techniqueWasserstein metric

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(2)

• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme

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