Work

Arbitrary order total variation Convergence of Markov semigroups using random grids

Year: 2021

Type: preprint

Abstract: We provide a abstract framework to prove total variation convergence result with arbitrary rate for numerical scheme for SDE. In particular we show that under standard weak approximation properties of scheme such as Euler we can obtain total variation convergence with any desired rate by building a specific approximation for the SDE.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2103.05701

Author: Rey, Clément

Institution: École Polytechnique

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3135034681

Cites: 7

Cited by:

Related to: 20