Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes

DOI10.1515/MCMA-2016-0120zbMATH Open1359.60046OpenAlexW2589816849MaRDI QIDQ515534FDOQ515534

Authors: Clément Rey 

Publication date: 16 March 2017

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://www.degruyter.com/view/j/mcma.2017.23.issue-1/mcma-2016-0120/mcma-2016-0120.xml?format=INT

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zbMATH Keywords

Malliavin calculusapproximation schemesdiffusion processesinvariance principlestotal variation distance

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) 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)

Cites Work

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