36 citations · 126 across the 37 of their papers we have counts for
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math.PR2012★ 28 cited
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…
math.PR2012★ 2 cited
Strong convergence of some drift implicit Euler scheme. Application to the CIR process
Aurélien Alfonsi
We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we o…