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Sharp estimates for the convergence of the density of the Euler scheme in small time
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Emmanuel Gobet, Laboratoire Jean Kuntzmann Université de Grenoble
Céline Labart, INRIA Paris Rocquencourt
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Abstract
In this work, we approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.
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Full text: PDF
Pages: 352-363
Published on: June 24, 2008
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Electronic Communications in Probability. ISSN: 1083-589X |
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