Skip to main content
Article thumbnail
Location of Repository

ON THE WEAK APPROXIMATION OF A SKEW DIFFUSION BY AN EULER-TYPE SCHEME

By N Frikha

Abstract

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 simulating skew Brownian motions with constant drift. We first establish two sided Gaussian bounds for the density of this approximation scheme. Then, a bound for the difference between the densities of the skew diffusion and its Euler approximation is obtained. Notably, the weak approximation error is shown to be of order h η/2 , where h is the time step of the scheme, η being the Hölder exponent of the diffusion coefficient

Topics: 1991 Mathematics Subject Classification 60H35, 65C30, 65C05, [ INFO.INFO-MO ] Computer Science [cs]/Modeling and Simulation, [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]
Publisher: HAL CCSD
Year: 2016
OAI identifier: oai:HAL:hal-01373949v1
Provided by: Hal-Diderot

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.