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
β¦ LIBER β¦
Malliavin Calculus for Degenerate Stochastic Functional Differential Equations
β Scribed by Atsushi Takeuchi
- Publisher
- Springer Netherlands
- Year
- 2007
- Tongue
- English
- Weight
- 365 KB
- Volume
- 97
- Category
- Article
- ISSN
- 0167-8019
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