Approximation of non-Lipschitz SDEs by Picard iterations
Résumé
In this paper, we propose an approximation method based on Picard iterations deduced from the Doléans–Dade exponential formula. Our method allows to approximate trajectories of Markov processes in a large class, e.g. solutions to non-Lipchitz SDEs. An application to the pricing of Asian-style contingent claims in the CEV model is presented and compared to other methods of the literature.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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