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Weak Error for the Euler Scheme Approximation of Degenerate Diffusions with Nonsmooth Coefficients

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We study the weak error associated with the Euler scheme of Kolmogorov like degenerate diffusion processes with nonsmooth bounded coefficients. More precisely, we consider the case of Hölder continuous homogeneous coefficients.

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Authors and Affiliations

  1. National Research University Higher School of Economics, Moscow, Russia

    A. A. Kozhina

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  1. A. A. Kozhina
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Correspondence to A. A. Kozhina.

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Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 22, No. 3, pp. 91–118, 2018.

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Kozhina, A.A. Weak Error for the Euler Scheme Approximation of Degenerate Diffusions with Nonsmooth Coefficients. J Math Sci 254, 510–531 (2021). https://doi.org/10.1007/s10958-021-05322-5

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  • DOI: https://doi.org/10.1007/s10958-021-05322-5

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