Quadrature for stochastic differential equation solutions #253
Description
- https://projecteuclid.org/proceedings/advanced-studies-in-pure-mathematics/Taniguchi-Conference-on-Mathematics-Nara-98/Chapter/Approximation-of-Expectation-of-Diffusion-Process-and-Mathematical-Finance/10.2969/aspm/03110147
- https://link.springer.com/chapter/10.1007/978-4-431-68450-3_4
- https://link.springer.com/article/10.1007/s10208-015-9277-5
- https://people.bath.ac.uk/tjs42/assets/pubs/R32.pdf
- https://arxiv.org/abs/1712.08152