Lecture 2022-1 (23): Numerical Methods: Time Discretization of Stochastic Processes 3: Convergence 1
Channel: finmath
Date: 2022-07-14

Lecture 2022-1: Session 23: Numerical Methods for Mathematical Finance: Time Discretization of Stochastic Processes 3: Convergence of the Euler Scheme 1/2: Strong Convergence

- Convergence of Time-Discrete Itô-Processes to Time-Continuous Itô-Processes
- Weak and Strong Convergence
- Weak Convergence Order of the Euler-Scheme
- Proof
- Lipschitz-Continuity
- Existince of Moments
- Doob’s Martingale Inequality
- Itô Isometry