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Simulation du mouvement brownien et des diffusions
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Simulation du mouvement brownien et des diffusions (1992)Simulation du mouvement brownien et des d…Optimal pointwise approximation of SDEs based on Brownian motion at discrete points (2004)Optimal pointwise approximati…Step size control for the uniform approximation of systems of stochastic differential equations with additive noise (2000)Step size control for the uni…Stochastic Differential Equations (1975)Discretization and simulation of stochastic differential equations (1985)The Optimal Discretization of Stochastic Differential Equations (2001)Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (2008)Adaptive Euler–Maruyama Method for SDEs with Non-globally Lipschitz Drift (2018)On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes (2018)Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design (1996)Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients (2018)
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  • 2004Optimal pointwise approximation of SDEs based on Brownian motion at discrete points36 cited
  • 2000Step size control for the uniform approximation of systems of stochastic differential equations with additive noise26 cited

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