Journal Article

Sharp estimates for the convergence of the density of the euler scheme in small time

Electronic Communications in Probability (2008) 13 352-363
DOI: 10.1214/ECP.v13-1393
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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. © 2008 Applied Probability Trust.

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Gobet, E., & Labart, C. (2008). Sharp estimates for the convergence of the density of the euler scheme in small time. Electronic Communications in Probability, 13, 352–363. https://doi.org/10.1214/ECP.v13-1393

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