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I haven't found the answer for the question above in google. Why can't we just discretize the equation instead of using methods like euler or milstein for the discretization.

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  • $\begingroup$ Do you mean in the sense of indexing the time parameter to a countable index set? $\endgroup$ – Forgottenscience Sep 17 '17 at 22:57
  • $\begingroup$ It is probanly due to asymptotic properties. The discrete process does not necessarily converge to the continuous process when we analyse its asymptotics. So the discretized equation would not necessarily represent well the continuous SDE. $\endgroup$ – python_enthusiast Sep 18 '17 at 16:20
  • $\begingroup$ @LauraSimonsenLeal I thought of that, but is there like a math proof or something that using the discrete approach of the SDE wont represent the continuous SDE? $\endgroup$ – Alejandro Andrade Sep 18 '17 at 16:27

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