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Weak rate of convergence for an Euler scheme of nonlinear SDE’s

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  • Kohatsu-Higa Arturo
  • Ogawa Shigeyoshi

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  • Kohatsu-Higa Arturo & Ogawa Shigeyoshi, 1997. "Weak rate of convergence for an Euler scheme of nonlinear SDE’s," Monte Carlo Methods and Applications, De Gruyter, vol. 3(4), pages 327-346, December.
    • Handle: RePEc:bpj:mcmeap:v:3:y:1997:i:4:p:327-346:n:5
    DOI: 10.1515/mcma.1997.3.4.327
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    References listed on IDEAS

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    1. Ogawa, Shigeyoshi, 1995. "Some problems in the simulation of nonlinear diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 217-223.
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    Cited by:

    1. Scander Mustapha, 2024. "Strong existence and uniqueness of a calibrated local stochastic volatility model," Papers 2406.14074, arXiv.org.

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