Lecture 2023-1 Session 21: Numerical Methods: Time-Discretization of Itô Stochastic Processes (3/4)
Channel: finmath
Date: 2023-07-02

Lecture 2023-1 Session 21: Numerical Methods / Computational Finance 1: Time-Discretization of Itô Stochastic Processes (3/4): Strong Convergence of the Euler Scheme

- Weak Convergence of the Euler Scheme Process
- Recap: Itô Lemma
- Intuition for the Itô Lemma
- Recap: Feynman-Kac Theorem
- Intuition for the Feynman-Kac Theorem