ASYMPTOTIC ERROR DISTRIBUTIONS FOR THE EULER METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS By

@inproceedings{Jacod1998ASYMPTOTICED,
  title={ASYMPTOTIC ERROR DISTRIBUTIONS FOR THE EULER METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS By},
  author={Jean Jacod and Philip Protter},
  year={1998}
}
We are interested in the rate of convergence of the Euler scheme approximation of the solution to a stochastic differential equation driven by a general (possibly discontinuous) semimartingale, and by the asymptotic behavior of the associated normalized error. It is well known that for Itô’s equations the rate is 1/ √ n ; we provide a necessary and sufficient condition for this rate to be 1/ √ n when the driving semimartingale is a continuous martingale, or a continuous semimartingale under a… CONTINUE READING
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