On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth

DOI10.3150/20-BEJ1241zbMath1475.60130arXiv1904.09441OpenAlexW3108024395WikidataQ115488544 ScholiaQ115488544MaRDI QIDQ2214250

Mireille Bossy, Jean-François Jabir, Kerlyns Martínez

Publication date: 7 December 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09441

zbMATH Keywords

stochastic differential equationrate of convergenceweak convergencepolynomial coefficientsnumerical schemeFeynman-Kac representation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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