Quantization methods for stochastic differential equations

DOI10.1007/978-3-030-96173-2_11zbMath1496.60081OpenAlexW4226068443MaRDI QIDQ2080137

Eckhard Platen, J. Kienitz, Robert E. Rudd, Thomas Andrew McWalter

Publication date: 7 October 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-96173-2_11

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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