most citedWeak convergence analysis of the symmetrized Euler scheme for one dimensional SDEs with diffusion coefficient |x|^a, a in [1/2,1)

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math.PR2015★ 4 cited

Weak convergence analysis of the symmetrized Euler scheme for one dimensional SDEs with diffusion coefficient |x|^a, a in [1/2,1)

Mireille Bossy, Awa Diop

In this paper, we are interested in the time discrete approximation of Ef(X(T)) when X is the solution of a stochastic differential equation with a diffusion coefficient function o…