Kohatsu-Higa, A.; Makhlouf, A.; Ngo, H.L. - In: Stochastic Processes and their Applications 124 (2014) 5, pp. 1881-1909
In this article, we obtain the weak and strong rates of convergence of time integrals of non-smooth functions of a one dimensional diffusion process. We propose the use of the exact simulation scheme to simulate the process at discretization points. In particular, we also present the rates of...
