Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

DOI10.1111/1467-9965.00013zbMath1060.91074OpenAlexW3122010635MaRDI QIDQ4409045

Denis Talay, Ziyu Zheng

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00013

zbMATH Keywords

stochastic differential equationMalliavin calculusMonte Carlo methodsmathematical finance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

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• Coherent Measures of Risk
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Expansion of the global error for numerical schemes solving stochastic differential equations