Advanced Search
MyIDEAS: Login to save this article or follow this journal

On irregular functionals of SDEs and the Euler scheme


Author Info

  • Rainer Avikainen


Registered author(s):


    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 3 (September)
    Pages: 381-401

    as in new window
    Handle: RePEc:spr:finsto:v:13:y:2009:i:3:p:381-401

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Stochastic differential equations; Approximation; Rate of convergence; Euler scheme; 60H10; 41A25; 26A45; 65C20; 65C30; C63; C65; G12;

    Find related papers by JEL classification:


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Hideyuki Tanaka & Toshihiro Yamada, 2013. "Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method," CARF F-Series CARF-F-333, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
    3. Dereich, Steffen & Heidenreich, Felix, 2011. "A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1565-1587, July.
    4. Geiss, Christel & Geiss, Stefan & Gobet, Emmanuel, 2012. "Generalized fractional smoothness and Lp-variation of BSDEs with non-Lipschitz terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2078-2116.
    5. Michael Giles & Kristian Debrabant & Andreas R\"o{\ss}ler, 2013. "Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation," Papers 1302.4676,
    6. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377,
    7. Hideyuki Tanaka & Toshihiro Yamada, 2012. "Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method," Papers 1210.0670,, revised Nov 2013.
    8. Gobet, Emmanuel & Menozzi, Stéphane, 2010. "Stopped diffusion processes: Boundary corrections and overshoot," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 130-162, February.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:13:y:2009:i:3:p:381-401. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.