Total variation convergence for numerical schemes for diffusions with irregular coefficients: An application to the CIR process
Résumé
In this paper, we propose a method to prove the total variation convergence for numerical
schemes for Stochastic Dierential Equation (SDE) with irregular coecient. In particular,
we will consider SDE with locally smooth coecients. In a rst part, we present this method
and in a second time, we apply it to the CIR process. We will consider the weak second
order scheme introduced in [2] and we will prove that this scheme also converges towards the
diusion for the total variation distance. This convergence will take place with almost order
two.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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