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On Some non Asymptotic Bounds for the Euler Scheme

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	On Some non Asymptotic Bounds for the Euler Scheme
2.	Creator	Author's name, affiliation, country	Stéphane Menozzi; Université Paris 7; France
2.	Creator	Author's name, affiliation, country	Vincent Lemaire; Université Paris 6; France
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Non asymptotic Monte Carlo bounds, Discretization schemes, Gaussian concentration
3.	Subject	Subject classification	60H35,65C30,65C05, 60E15
4.	Description	Abstract	We obtain non asymptotic bounds for the Monte Carlo algorithm associated to the Euler discretization of some diffusion processes. The key tool is the Gaussian concentration satisfied by the density of the discretization scheme. This Gaussian concentration is derived from a Gaussian upper bound of the density of the scheme and a modification of the so-called "Herbst argument" used to prove Logarithmic Sobolev inequalities. We eventually establish a Gaussian lower bound for the density of the scheme that emphasizes the concentration is sharp.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2010-10-26
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/814
10.	Identifier	Digital Object Identifier	10.1214/EJP.v15-814
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 15
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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