Stochastic Calculus pp 341-364 | Cite as

^{∗}Simulation

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## Abstract

Applications often require the computation of the expectation of a functional of a diffusion process. But for a few situations there is no closed formula in order to do this and one must recourse to approximations and numerical methods. We have seen in the previous chapter that sometimes such an expectation can be obtained by solving a PDE problem so that specific numerical methods for PDEs, such as finite elements, can be employed. Simulation of diffusion processes is another option which is explored in this chapter.

## References

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*Rend. Circ. Mat. Palermo (2)*, 4:48–90.CrossRefzbMATHMathSciNetGoogle Scholar - Talay, D. and Tubaro, L. (1990). Expansion of the global error for numerical schemes solving stochastic differential equations.
*Stochastic Anal. Appl.*, 8(4):483–509 (1990).Google Scholar

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