Pagès, Gilles; Panloup, Fabien - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 522-565
coefficients of the diffusion are smooth enough, this alternative does not change the order of the rate of convergence of the … procedure. We also investigate a Richardson–Romberg method to speed up the convergence and show that the variance of the … required to ensure the rate of convergence results. …