Year: 2003
Type: article
Abstract: 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.
Source: Comptes Rendus Mathématique
Authors: Paul Malliavin, Anton Thalmaier
Institution: Université d'Évry Val-d'Essonne
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2034021590