Localization of Wiener functionals of fractional regularity and applications
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DOI: 10.1016/j.spa.2014.03.010
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References listed on IDEAS
- 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.
- Bally, Vlad & Caramellino, Lucia, 2011. "Riesz transform and integration by parts formulas for random variables," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1332-1355, June.
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Cited by:
- Guilan Cao & Kai He, 2021. "Estimates of the Difference Between Two Probability Densities of Wiener Functionals and Its Application," Journal of Theoretical Probability, Springer, vol. 34(2), pages 553-579, June.
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Keywords
Fractional order; Donsker’s delta function; Integration by parts; Non-Markovian; Euler scheme; Convergence rate;All these keywords.
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