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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients.
Jean-François Chassagneux
Antoine Jacquier
Ivo Mihaylov
Published in:
SIAM J. Financial Math. (2016)
Keyphrases
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linear combination
convergence rate
allocation scheme
channel capacity
neural network
decision making
high level
computational complexity
risk management
bandwidth utilization