Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *
Résumé
We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of Hölder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.
Domaines
Probabilités [math.PR]
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ARTICLE_ANNA_VALENTIN_S_EULER_SCHEME_020416.pdf (384.45 Ko)
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