An Introduction to Simulation Schemes for SDEs

  • Aurélien Alfonsi
Part of the Bocconi & Springer Series book series (BS, volume 6)


Let us start this chapter by a general motivation for having simulation schemes. To fix the ideas, we consider a continuous process (X t , t ∈ [0, T]) that takes values in \(\mathbb{R}^{d}\) and a function \(F: \mathcal{C}([0,T], \mathbb{R}^{d}) \rightarrow \mathbb{R}\) such that \(\mathbb{E}[\vert F(X_{t},t \in [0,T])\vert ] < \infty \).


Approximation Scheme Discretization Scheme Order Scheme Infinitesimal Generator Euler Scheme 
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© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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