Regular Strong Itô Approximations
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In this chapter we describe strong approximations on a regular time discretization that are more general than the regular strong Taylor approximations presented in the previous chapter. These approximations belong to the class of regular strong Itô schemes, which includes derivative-free, implicit and predictor-corrector schemes. More details on some of the results to be presented in this chapter can be found in Bruti-Liberati, Nikitopoulos-Sklibosios & Platen (2006) and Bruti-Liberati & Platen (2008).
KeywordsGaussian Random Variable Implicit Scheme Multiplicative Noise Euler Scheme Strong Order
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