no. 10
Probability Theory
Numerical error for SDE: Asymptotic expansion and hyperdistributions
Presented by: Paul Malliavin
Malliavin, Paul1; Thalmaier, Anton2
110, rue Saint Louis en l'Isle, 75004 Paris, France
2Université 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

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

Malliavin, Paul  1 ; Thalmaier, Anton  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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Malliavin, Paul; Thalmaier, Anton. 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

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