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Journal articles
Weak Error for stable driven SDEs: expansion of the densities
Abstract : Consider a multidimensional SDE of the form $X_t = x+\int_{0}^{t} b(X_{s-})ds+\int{0}^{t} f(X_{s-})dZ_s$ where $(Z_s)_{s\ge 0}$ is a symmetric stable process. Under suitable assumptions on the coefficients the unique strong solution of the above equation admits a density w.r.t. the Lebesgue measure and so does its Euler scheme. Using a parametrix approach, we derive an error expansion at order 1 w.r.t. the time step for the difference of these densities.
Cited literature [13 references]
https://hal.archives-ouvertes.fr/hal-00331845
Contributor : Stephane Menozzi <>
Submitted on : Friday, January 22, 2010 - 4:05:52 PM
Last modification on : Monday, December 14, 2020 - 9:46:17 AM
Long-term archiving on: : Thursday, September 23, 2010 - 6:15:13 PM
Contributor : Stephane Menozzi <>
Submitted on : Friday, January 22, 2010 - 4:05:52 PM
Last modification on : Monday, December 14, 2020 - 9:46:17 AM
Long-term archiving on: : Thursday, September 23, 2010 - 6:15:13 PM
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