Lecture Computational Finance / Numerical Methods 27: Convergence of the Euler Scheme (1)
Channel: finmath
Date: 12/07/2021

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 27: Strong Convergence of the Euler Scheme

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

- Proof of the strong order 1/2 convergence of the Euler-scheme