Lecture Computational Finance / Numerical Methods 13: Strong Convergence of the Euler-Scheme
Channel: finmath
Date: 2020-06-27

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 13: Convergence of the Euler-Scheme: Strong Convergence

The second session on the time-discretisation of stochastic processes.

- Convergence of the Euler-scheme
- Strong and weak convergence of the Euler-scheme
- Some estimates for stochastic processes
- Proof of the strong order 1/2 convergence of the Euler-scheme