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math.PR2016
On the weak approximation of a skew diffusion by an Euler-type scheme
Noufel Frikha
We study the weak approximation error of a skew diffusion with bounded measurable drift and Hölder diffusion coefficient by an Euler-type scheme, which consists of iteratively simu…
math.PR2016★ 5 cited
On the first hitting times of one dimensional elliptic diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated…