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Optimal pointwise approximation of SDEs based on Brownian motion at discrete points

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References

1985Discretization and simulation of stochastic differential equations197 cited
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2001The Optimal Discretization of Stochastic Differential Equations71 cited
2002The optimal uniform approximation of systems of stochastic differential equations71 cited
1994Stochastic Differential Equations64 cited
2005Approximation of itô integral equations45 cited
1992Simulation du mouvement brownien et des diffusions37 cited

Cited by

2008Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion34 cited
2018Adaptive Euler–Maruyama Method for SDEs with Non-globally Lipschitz Drift31 cited
2018On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes27 cited
2018Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients24 cited

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