Weak rate of convergence for an Euler scheme of nonlinear SDE's
نویسندگان
چکیده
We deene an Euler type weak approximation for solutions of nonlinear diiusion processes. We nd the rate of convergence of this scheme in weak form. As in the diiusion case the weak rate of convergence is better than the strong one. The proof uses the integration by parts formula of Malliavin calculus.
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ورودعنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 3 شماره
صفحات -
تاریخ انتشار 1997