[Erreur du schéma d'Euler pour une EDS et hyperdistribution]
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.
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.
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@article{CRMATH_2003__336_10_851_0,
author = {Malliavin, Paul and Thalmaier, Anton},
title = {Numerical error for {SDE:} {Asymptotic} expansion and hyperdistributions},
journal = {Comptes Rendus. Math\'ematique},
pages = {851--856},
publisher = {Elsevier},
volume = {336},
number = {10},
year = {2003},
doi = {10.1016/S1631-073X(03)00189-4},
language = {en},
url = {http://archive.numdam.org/articles/10.1016/S1631-073X(03)00189-4/}
}
TY - JOUR AU - Malliavin, Paul AU - Thalmaier, Anton TI - Numerical error for SDE: Asymptotic expansion and hyperdistributions JO - Comptes Rendus. Mathématique PY - 2003 SP - 851 EP - 856 VL - 336 IS - 10 PB - Elsevier UR - http://archive.numdam.org/articles/10.1016/S1631-073X(03)00189-4/ DO - 10.1016/S1631-073X(03)00189-4 LA - en ID - CRMATH_2003__336_10_851_0 ER -
%0 Journal Article %A Malliavin, Paul %A Thalmaier, Anton %T Numerical error for SDE: Asymptotic expansion and hyperdistributions %J Comptes Rendus. Mathématique %D 2003 %P 851-856 %V 336 %N 10 %I Elsevier %U http://archive.numdam.org/articles/10.1016/S1631-073X(03)00189-4/ %R 10.1016/S1631-073X(03)00189-4 %G en %F CRMATH_2003__336_10_851_0
Malliavin, Paul; Thalmaier, Anton. Numerical error for SDE: Asymptotic expansion and hyperdistributions. Comptes Rendus. Mathématique, Tome 336 (2003) no. 10, pp. 851-856. doi : 10.1016/S1631-073X(03)00189-4. http://archive.numdam.org/articles/10.1016/S1631-073X(03)00189-4/
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