The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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- Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 311-349, February.
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- Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
- Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
- Kebaier, Ahmed & Kohatsu-Higa, Arturo, 2008. "An optimal control variance reduction method for density estimation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2143-2180, December.
- He, Kai & Ren, Jiagang & Zhang, Hua, 2014. "Localization of Wiener functionals of fractional regularity and applications," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2543-2582.
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