Lecture Computational Finance / Numerical Methods 26: Convergence of the Numerical Schemes
Channel: finmath
Date: 2021-07-06

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 26: Convergence of the Time Discretisation Schemes of Stochastic Processes

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

- Convergence of a Time Discretisation Schemes of Stochastic Processes with respect to the Maximum Time Discretization Size
- Strong convergence
- Weak convergence
- Strong convergence of the Euler scheme