Weak error expansion of the implicit Euler scheme

2013/04/25 by Omar Aboura, Aboura, Omar · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Numerical Methods in Computational Mathematics #Differential Equations and Numerical Methods #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1304.6997

arxiv created 2013/04/25 · openalex publication_date 2013/04/25 · arxiv updated 2013/04/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we extend the Talay Tubaro theorem to the implicit Euler scheme.

Cited by

• Weak error in negative Sobolev spaces for the stochastic heat equation

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