Section: New Results

Discretization of stochastic differential equations

Participants : A. Alfonsi, E. Clément, B. Jourdain, M. Sbai, A. Kohatsu Higa, V. Lemaire, D. Lamberton, J. Guyon, B. Jourdain, V. Lemaire, G. Pagès.

A. Kohatsu-Higa is extending the results obtained in an joint article with E. Clement and D. Lamberton to other situations such as the case of backward SDE's.

A method allowing exact simulation of the solution of one-dimensional stochastic differential equations has been recently proposed by Beskos and Roberts [51] and improved in a joint preprint with Papaspiliopoulos. Under the supervision of B. Jourdain, M. Sbai has started his PhD by studying financial applications of this method. [51]