The strong weak convergence of the quasi-EA
نویسندگان
چکیده
In this paper, we investigate the convergence of a novel simulation scheme to the target diffusion process. This scheme, the Quasi-EA, is closely related to the Exact Algorithm (EA) for diffusion processes, as it is obtained by neglecting the rejection step in EA. We prove the existence of a myopic coupling between the QuasiEA and the diffusion. Moreover, an upper bound for the coupling probability is given. Consequently we establish the convergence of the Quasi-EA to the diffusion with respect to the total variation distance.
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ورودعنوان ژورنال:
- Queueing Syst.
دوره 73 شماره
صفحات -
تاریخ انتشار 2013