Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *

Abstract : 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.
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Contributor : Stephane Menozzi <>
Submitted on : Thursday, December 22, 2016 - 9:37:11 AM
Last modification on : Friday, July 20, 2018 - 11:13:07 AM
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  • HAL Id : hal-01297066, version 3
  • ARXIV : 1604.00771

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V Konakov, S Menozzi. Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2017, 22 (46), 47p. ⟨hal-01297066v3⟩

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