The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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DOI10.1007/BF01303802zbMath0838.60051OpenAlexW2607399731MaRDI QIDQ1908538

Vlad Bally, Denis Talay

Publication date: 27 May 1996

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01303802

zbMATH Keywords

stochastic differential equation Brownian motion convergence rate Euler discretization scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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