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

Emmanuel Gobet 1 Celine Labart 2
1 MATHFI - Mathématiques financières
LJK - Laboratoire Jean Kuntzmann
2 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
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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https://hal.archives-ouvertes.fr/hal-00281365
Contributor : Celine Labart <>
Submitted on : Thursday, May 22, 2008 - 9:11:35 AM
Last modification on : Thursday, November 19, 2020 - 1:00:55 PM
Long-term archiving on: : Friday, September 28, 2012 - 2:55:21 PM

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Emmanuel Gobet, Celine Labart. Sharp estimates for the convergence of the density of the Euler scheme in small time. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2008, 13, pp.352-363. ⟨10.1214/ECP.v13-1393⟩. ⟨hal-00281365⟩

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