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The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density

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  • BALLY Vlad
  • TALAY Denis

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  • BALLY Vlad & TALAY Denis, 1996. "The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density," Monte Carlo Methods and Applications, De Gruyter, vol. 2(2), pages 93-128, December.
    • Handle: RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7
    DOI: 10.1515/mcma.1996.2.2.93
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    References listed on IDEAS

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    1. Bally, Vlad & Talay, Denis, 1995. "The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 35-41.
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    Cited by:

    1. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
    2. Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
    3. Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 311-349, February.
    4. repec:hal:wpaper:hal-00727430 is not listed on IDEAS
    5. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
    6. Gobet, Emmanuel & Menozzi, Stéphane, 2004. "Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 201-223, August.
    7. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
    8. Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
    9. Kebaier, Ahmed & Kohatsu-Higa, Arturo, 2008. "An optimal control variance reduction method for density estimation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2143-2180, December.
    10. Anna Knezevic & Nikolai Dokuchaev, 2019. "Approximating intractable short ratemodel distribution with neural network," Papers 1912.12615, arXiv.org, revised Apr 2024.
    11. Christophe Berthelot & Mireille Bossy & Nathalie Pistre, 2001. "Risque associé au contrat d'assurance-vie pour la compagnie d'assurance," Économie et Prévision, Programme National Persée, vol. 149(3), pages 73-85.
    12. He, Kai & Ren, Jiagang & Zhang, Hua, 2014. "Localization of Wiener functionals of fractional regularity and applications," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2543-2582.

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