On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth

Mireille Bossy, Jean Francois Jabir, Kerlyns Martinez

We consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as $x^{\alpha }$, with $\alpha >1$. We…