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Wong-Zakai Corrections, Random Evolutions, and Simulation Schemes for SDE's

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References

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1996Weak convergence of stochastic integrals and differential equations89 cited
2005The approximate Euler method for Lévy driven stochastic differential equations84 cited
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2016Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions69 cited
2002Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process64 cited
2004The Euler scheme for Lévy driven stochastic differential equations : limit theorems

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2019First-order Euler scheme for SDEs driven by fractional Brownian motions: The rough case38 cited

1998Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients37 cited

2009Milstein’s type schemes for fractional SDEs33 cited

2011Discretization error of stochastic integrals32 cited