Articlebronze1986

Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

Abstract

Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution RAIRO -Modélisation mathématique et analyse numérique, tome 20, n o 1 (1986), p. 141-179.

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1985Discretization and simulation of stochastic differential equations 2005Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications

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