An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form |x|^a, a in [1/2,1)

The symmetrized Euler scheme, introduce to treat reflected stochastic differential equations, leads to a weak convergence rate of order one for Lipschitz coefficients (see [4])..

Like in the Brownian case, numerical results show that both recursive marginal quantization methods (with optimal and uniform dispatching) lead to the same price estimates (up to 10

This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of fast online quantization in dimension greater

In the framework of bounded non degenerate and H¨ older continuous coefficients, let us mention the work of Mikuleviˇcius and Platen [MP91] who obtained bounds for the weak error

This result gives an intermediate rate, for the pathwise weak approximation, between the strong order rate and the weak marginal rate and raises a natural question : is it possible

The aim of this paper is to study a whole class of first order differential inclusions, which fit into the framework of perturbed sweeping process by uniformly prox-regular sets..

We give an explicit error bound between the invariant density of an elliptic reflected diffusion in a smooth compact domain and the kernel estimator built on the symmetric Euler

the exact Godunov scheme to deal with conservation laws, or in an alternative way to an approximate Godunov scheme called VFRoe-ncv which is based on velocity and pressure