Abstract.
We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of an SDE is close to that for an exact solution.
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Received: 12 September 2001 / Revised version: 5 July 2002 / Published online: 14 November 2002
This work was supported by the projects RFBR 00-01-22000 and INTAS 99-0590.
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Veretennikov, A. On large deviations for approximations of SDEs . Probab Theory Relat Fields 125, 135–152 (2003). https://doi.org/10.1007/s00440-002-0235-1
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DOI: https://doi.org/10.1007/s00440-002-0235-1
Keywords
- Exact Solution
- Rate Function
- Approximation Scheme
- Euler Approximation
- Euler Approximation Scheme