S Peluchetti, GO Roberts and B Casella
The strong weak convergence of the Quasi-EA
Date: January 2008
Abstract: In this paper we investigate the convergence of a novel simulation scheme to the target diffusion process. This scheme, the Quasi-EA, is closely related to the Exact Algorithm (EA) for diffusion processes, as it is obtained by neglecting the rejection step in EA. We prove the existence of a myopic coupling between the Quasi-EA and the diffusion. Moreover, an upper bound for the coupling probability is given. Consequently, we establish the convergence of the Quasi-EA to the diffusion with respect to the total variation distance.