Probability Theory
Numerical error for SDE: Asymptotic expansion and hyperdistributions
[Erreur du schéma d'Euler pour une EDS et hyperdistribution]
Comptes Rendus. Mathématique, Tome 336 (2003) no. 10, pp. 851-856.

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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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, 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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