On some Non Asymptotic Bounds for the Euler Scheme

Details On some Non Asymptotic Bounds for the Euler Scheme On some Non Asymptotic Bounds for the Euler Scheme

2010-01-08

arxiv.org/abs/1001.1347v1

Mathematics

Probability

26 pages

Scientific paper

We obtain non asymptotic bounds for the Monte Carlo algorithm associated to the Euler discretization of some diffusion processes. The key tool is the Gaussian concentration satisfied by the density of the discretization scheme. This Gaussian concentration is derived from a Gaussian upper bound of the density of the scheme and a modification of the so-called "Herbst argument" used to prove Logarithmic Sobolev inequalities. We eventually establish a Gaussian lower bound for the density of the scheme that emphasizes the concentration is sharp.

Affiliated with

Also associated with

No associations

Rating

On some Non Asymptotic Bounds for the Euler Scheme does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On some Non Asymptotic Bounds for the Euler Scheme, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On some Non Asymptotic Bounds for the Euler Scheme will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-503168