Numerical error for SDE: Asymptotic expansion and hyperdistributions

Paul Malliavin; Anton Thalmaier

doi:10.1016/S1631-073X(03)00189-4

Probability Theory

Numerical error for SDE: Asymptotic expansion and hyperdistributions
[Erreur du schéma d'Euler pour une EDS et hyperdistribution]

Présenté par : Paul Malliavin

Paul Malliavin ¹ ; Anton Thalmaier ²

¹ 10, rue Saint Louis en l'Isle, 75004 Paris, France
² Université d'Évry, laboratoire d'analyse et probabilité, bd François Mitterrand, 91025 Evry cedex, France

Comptes Rendus. Mathématique, Volume 336 (2003) no. 10, pp. 851-856.

Résumé
Abstract

La partie principale de l'erreur dans l'intégration par le schéma d'Euler d'une EDS avec des coefficients réguliers est une distribution de Watanabe généralisée.

The principal part of the error in the Euler scheme for an SDE with smooth coefficients can be expressed as a generalized Watanabe distribution on Wiener space.

Reçu le : 2003-03-13
Accepté le : 2003-04-01
Publié le : 2003-05-15

DOI : 10.1016/S1631-073X(03)00189-4

Affiliations des auteurs :

Paul Malliavin ¹ ; Anton Thalmaier ²

¹ 10, rue Saint Louis en l'Isle, 75004 Paris, France
² Université d'Évry, laboratoire d'analyse et probabilité, bd François Mitterrand, 91025 Evry cedex, France

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Paul Malliavin; Anton Thalmaier. Numerical error for SDE: Asymptotic expansion and hyperdistributions. Comptes Rendus. Mathématique, Volume 336 (2003) no. 10, pp. 851-856. doi : 10.1016/S1631-073X(03)00189-4. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(03)00189-4/

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