Lecture 2022-1 (24): Numerical Methods: Time Discretization of Stochastic Processes 4: Convergence 2
Channel: finmath
Date: 2022-07-15

Lecture 2022-1: Session 24: Numerical Methods for Mathematical Finance: Time Discretization of Stochastic Processes 4: Convergence of the Euler Scheme 2/2: Weak Convergence

- Weak Convergence Order of the Euler-Scheme
- Proof
- Feynman-Kac Theorem
- Itô's Lemma