Total variation convergence for numerical schemes for diffusions with irregular coefficients: An application to the CIR process

Abstract : 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.
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Pré-publication, Document de travail
2016
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https://hal.archives-ouvertes.fr/hal-01412024
Contributeur : Clément Rey <>
Soumis le : dimanche 11 décembre 2016 - 21:32:07
Dernière modification le : jeudi 15 décembre 2016 - 01:07:30

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Note_CIR_bound_11_12_2016.pdf
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  • HAL Id : hal-01412024, version 2

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Clément Rey. Total variation convergence for numerical schemes for diffusions with irregular coefficients: An application to the CIR process. 2016. <hal-01412024v2>

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