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

Gobet, Emmanuel; Labart, Céline

Electronic Communications in Probability [electronic only] (2008)

  • Volume: 13, page 352-363
  • ISSN: 1083-589X

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Gobet, Emmanuel, and Labart, Céline. "Sharp estimates for the convergence of the density of the Euler scheme in small time.." Electronic Communications in Probability [electronic only] 13 (2008): 352-363. <http://eudml.org/doc/224071>.

@article{Gobet2008,
author = {Gobet, Emmanuel, Labart, Céline},
journal = {Electronic Communications in Probability [electronic only]},
keywords = {stochastic differential equation; Euler scheme; rate of convergence; Malliavin calculus},
language = {eng},
pages = {352-363},
publisher = {University of Washington},
title = {Sharp estimates for the convergence of the density of the Euler scheme in small time.},
url = {http://eudml.org/doc/224071},
volume = {13},
year = {2008},
}

TY - JOUR
AU - Gobet, Emmanuel
AU - Labart, Céline
TI - Sharp estimates for the convergence of the density of the Euler scheme in small time.
JO - Electronic Communications in Probability [electronic only]
PY - 2008
PB - University of Washington
VL - 13
SP - 352
EP - 363
LA - eng
KW - stochastic differential equation; Euler scheme; rate of convergence; Malliavin calculus
UR - http://eudml.org/doc/224071
ER -

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