Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients
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Publication:2627870
DOI10.1214/17-EJP53zbMath1365.60065arXiv1604.00771MaRDI QIDQ2627870
Stéphane Menozzi, Valentin Konakov
Publication date: 1 June 2017
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.00771
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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