The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density.

Vlad Bally Denis Talay

Published in: Monte Carlo Methods Appl. (1996)

Keyphrases

convergence rate
stochastic differential equations
maximum a posteriori estimation
convergence speed
step size
brownian motion
gradient method
differential equations
fractional brownian motion
additive gaussian noise