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


 
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1. Title Title of document Sharp estimates for the convergence of the density of the Euler scheme in small time
 
2. Creator Author's name, affiliation, country Emmanuel Gobet; Laboratoire Jean Kuntzmann Université de Grenoble
 
2. Creator Author's name, affiliation, country Céline Labart; INRIA Paris Rocquencourt
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) stochastic differential equation; Euler scheme; rate of convergence; Malliavin calculus
 
3. Subject Subject classification 65C20; 60H07; 60H10; 65G99; 65M15; 60J60
 
4. Description 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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6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-06-24
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1393
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1393
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
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