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

V Konakov (1) , S Menozzi (2)

1 Higher School of Economics
2 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

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.

Mots clés: Weak Error; Euler Scheme; Parametrix; non smooth coefficients

Domaines: Probabilités [math.PR]

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