Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *
Probability
2016-12-28 v3
Abstract
We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.
Cite
@article{arxiv.1604.00771,
title = {Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *},
author = {V Konakov and S Menozzi},
journal= {arXiv preprint arXiv:1604.00771},
year = {2016}
}
Comments
45 pages