On irregular functionals of SDEs and the Euler scheme

Author:

Avikainen Rainer

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference27 articles.

1. Avikainen, R.: Convergence rates for approximations of functionals of SDEs. arXiv:0712.3635v1 [math.PR] (2007)

2. Bally, V., Talay, D.: The law of the Euler scheme for stochastic differential equations, I: convergence rate of the distribution function. Probab. Theory Relat. Fields 104, 43–60 (1996)

3. Bennett, C., Sharpley, R.: Interpolation of Operators. Academic Press, New York (1988)

4. Bouleau, N., Lépingle, D.: Numerical Methods for Stochastic Processes. Wiley, New York (1994)

5. Caballero, M.E., Fernández, B., Nualart, D.: Estimation of densities and applications. J. Theor. Probab. 11, 831–851 (1998)

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