37 citations · 160 across the 20 of their papers we have counts for
3 papers · 1 filter
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
A. Alfonsi, B. Jourdain, A. Kohatsu-Higa
In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-di…
Local Hölder continuity property of the Densities of Solutions of SDEs with Singular Coefficients
Masafumi Hayashi, Arturo Kohatsu-Higa, Go Yuki
We prove that the weak solution of a uniformly elliptic stochastic differential equation with locally smooth diffusion coefficient and Hölder continuous drift has a Hölder continuo…
Optimal simulation schemes for Lévy driven stochastic differential equations
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity. These schemes combine a…