IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Approximation of quantiles of components of diffusion processes

Listed author(s):
  • Talay, Denis
  • Zheng, Ziyu

In this paper we study the convergence rate of the numerical approximation of the quantiles of the marginal laws of (Xt), where (Xt) is a diffusion process, when one uses a Monte Carlo method combined with the Euler discretization scheme. Our convergence rate estimates are obtained under two sets of hypotheses: either (Xt) is uniformly hypoelliptic (in the sense of condition (UH) below), or the inverse of the Malliavin covariance of the marginal law under consideration satisfies condition (M) below. In order to deduce the required numerical parameters from our error estimates in view of a prescribed accuracy, one needs to get an as accurate as possible lower bound estimate for the density of the marginal law under consideration. This usually is a very hard task. Nevertheless, in our Section 3 of this paper, we treat a case coming from a financial application.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Stochastic Processes and their Applications.

Volume (Year): 109 (2004)
Issue (Month): 1 (January)
Pages: 23-46

in new window

Handle: RePEc:eee:spapps:v:109:y:2004:i:1:p:23-46
Contact details of provider: Web page:

Order Information: Postal: http://

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Denis Talay & Ziyu Zheng, 2003. "Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 187-199.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:109:y:2004:i:1:p:23-46. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.