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On irregular functionals of SDEs and the Euler scheme

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  • Rainer Avikainen

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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    References listed on IDEAS

    as
    1. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
    2. 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)

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    More about this item

    Keywords

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

    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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