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

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 -