Weak Error for the Euler Scheme Approximation of Diffusions with Non-Smooth Coefficients *
نویسندگان
چکیده
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 Hölder continuous coefficients as well as piecewise smooth drifts with smooth diffusion matrices. 1991 Mathematics Subject Classification. Primary 60H10; Secondary 65C30. December 22, 2016.
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