Kernel Convergence Estimates for Diffusions with Continuous Coefficients

Abstract

We are interested in the kernel of one-dimensional diffusion equations with continuous coefficients as evaluated by means of explicit discretization schemes of uniform step h > 0 in the limit as h → 0. We consider both semidiscrete triangulations with continuous time and explicit Euler schemes with time step small enough for the method to be stable. We find… (More)

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Cite this paper

@inproceedings{Albanese2007KernelCE, title={Kernel Convergence Estimates for Diffusions with Continuous Coefficients}, author={Claudio Albanese}, year={2007} }