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

   
@article{ECP1393,
	author = {Emmanuel Gobet and Céline Labart},
	title = {Sharp estimates for the convergence of the density of the Euler scheme in small time},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {13},
	year = {2008},
	keywords = {stochastic differential equation; Euler scheme; rate of convergence; Malliavin calculus},
	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.},
	pages = {no. 35, 352-363},
	issn = {1083-589X},
	doi = {10.1214/ECP.v13-1393},    
        url = {http://ecp.ejpecp.org/article/view/1393}}