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Discrete Sampling of Functionals of Ito Processes

  • Emmanuel Gobet
  • Stéphane Menozzi
Part of the Lecture Notes in Mathematics book series (LNM, volume 1899)

Key words: Discrete time approximation, Martingale techniques, Non Markovian process.

Keywords

Brownian Motion Discrete Sampling Smooth Domain Martingale Property Markovian Case 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-VerlagBerlinHeidelberg 2007

Authors and Affiliations

  • Emmanuel Gobet
    • 1
  • Stéphane Menozzi
    • 1
  1. 1.Centre de Mathématiques AppliquéesEcole PolytechniquePalaiseau CedexFrance

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