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.
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.
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Paul Malliavin 1; Anton Thalmaier 2
@article{CRMATH_2003__336_10_851_0, author = {Paul Malliavin and Anton Thalmaier}, title = {Numerical error for {SDE:} {Asymptotic} expansion and hyperdistributions}, journal = {Comptes Rendus. Math\'ematique}, pages = {851--856}, publisher = {Elsevier}, volume = {336}, number = {10}, year = {2003}, doi = {10.1016/S1631-073X(03)00189-4}, language = {en}, }
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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