The Euler scheme for stochastic differen
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Vlad Bally; Denis Talay
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Article
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1995
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Elsevier Science
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English
β 304 KB
We study the approximation problem of Ef(Xr) by Ef(X~.), where (Xt) is the solution of a stochastic differential equation, (X~) is defined by the Euler discretization scheme with step T/n, and f is a given function. For smooth f's, Talay and Tubaro had shown that the error Ef(Xr) -Ef(X~) can be expa