Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process
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DOI: 10.1016/j.spa.2018.03.008
Abstract: Abstract In this paper, we propose a method to prove the total variation convergence of approximation of Markov semigroups with singularities. In particular our approach is adapted to the study of numerical schemes for Stochastic… read more here.
Keywords: total variation; variation; cir process; approximation markov ... See more keywords