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

  • Gobet E
  • Labart C
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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.

Author-supplied keywords

  • Euler scheme
  • Malliavin calculus
  • Rate of convergence
  • Stochastic differential equation

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Authors

  • Emmanuel Gobet

  • Céline Labart

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