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Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models.

Andrei CozmaChristoph Reisinger
Published in: SIAM J. Numer. Anal. (2018)
Keyphrases
  • convergence rate
  • markov chain
  • model selection
  • learning algorithm
  • dynamic programming
  • gaussian kernels