Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *

V Konakov; S Menozzi

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arXiv · 1604.00771

Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *

V Konakov·S Menozzi

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Abstract

We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices.

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V Konakov, S Menozzi. 2016-04-04. Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *. https://arxiv.org/abs/1604.00771

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