Comptes Rendus
Probability Theory
Numerical error for SDE: Asymptotic expansion and hyperdistributions
Comptes Rendus. Mathématique, Volume 336 (2003) no. 10, pp. 851-856.

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.

Received:
Accepted:
Published online:
DOI: 10.1016/S1631-073X(03)00189-4

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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