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An Introduction to Simulation Schemes for SDEs

  • Aurélien Alfonsi
Part of the Bocconi & Springer Series book series (BS, volume 6)

Abstract

Let us start this chapter by a general motivation for having simulation schemes. To fix the ideas, we consider a continuous process (X t , t ∈ [0, T]) that takes values in \(\mathbb{R}^{d}\) and a function \(F: \mathcal{C}([0,T], \mathbb{R}^{d}) \rightarrow \mathbb{R}\) such that \(\mathbb{E}[\vert F(X_{t},t \in [0,T])\vert ] < \infty \).

Keywords

Approximation Scheme Discretization Scheme Order Scheme Infinitesimal Generator Euler Scheme 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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