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Approximation of non-Lipschitz SDEs by Picard iterations

Abstract : 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.
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Submitted on : Tuesday, August 28, 2018 - 12:24:03 PM
Last modification on : Tuesday, January 18, 2022 - 3:23:54 PM
Long-term archiving on: : Thursday, November 29, 2018 - 3:20:25 PM

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  • HAL Id : hal-01397399, version 2

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Julien Baptiste, Julien Grepat, Emmanuel Lépinette. Approximation of non-Lipschitz SDEs by Picard iterations. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2018, 25(2018) (2), pp.148-179. ⟨hal-01397399v2⟩

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