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On irregular functionals of SDEs and the Euler scheme

Author

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  • Rainer Avikainen

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Abstract

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Suggested Citation

  • Rainer Avikainen, 2009. "On irregular functionals of SDEs and the Euler scheme," Finance and Stochastics, Springer, vol. 13(3), pages 381-401, September.
  • Handle: RePEc:spr:finsto:v:13:y:2009:i:3:p:381-401
    DOI: 10.1007/s00780-009-0099-7
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    File URL: http://hdl.handle.net/10.1007/s00780-009-0099-7
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    References listed on IDEAS

    as
    1. Guyon, Julien, 2006. "Euler scheme and tempered distributions," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 877-904, June.
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    Citations

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    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. Hideyuki Tanaka & Toshihiro Yamada, 2012. "Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method," Papers 1210.0670, arXiv.org, revised Nov 2013.
    4. Michael Giles & Kristian Debrabant & Andreas Ro{ss}ler, 2013. "Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation," Papers 1302.4676, arXiv.org.
    5. David Barrera & Stéphane Crépey & Babacar Diallo & Gersende Fort & Emmanuel Gobet & Uladzislau Stazhynski, 2018. "Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations," Working Papers hal-01710394, HAL.
    6. Dirk Becherer & Plamen Turkedjiev, 2014. "Multilevel approximation of backward stochastic differential equations," Papers 1412.3140, arXiv.org.
    7. 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.
    8. 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.
    9. 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.
    10. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.

    More about this item

    Keywords

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

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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