×

zbMATH — the first resource for mathematics

Sharp estimates for the convergence of the density of the Euler scheme in small time. (English) Zbl 1188.65007
Summary: We approximate a diffusion process by its Euler scheme and we study the convergence of the density of the marginal laws. We improve previous estimates especially for small time.

MSC:
65C30 Numerical solutions to stochastic differential and integral equations
60H07 Stochastic calculus of variations and the Malliavin calculus
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20 Stability and convergence of numerical methods for ordinary differential equations
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
60J60 Diffusion processes
PDF BibTeX Cite
Full Text: DOI EMIS EuDML