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ArticleA Note on Euler's Approximations

István Gyöngy1998

Article1998

A Note on Euler's Approximations

István Gyöngy

151 citations·0/0 files stored·Potential Analysis

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Numerical methods for differential equations

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References

1980Controlled Diffusion Processes 1996Existence of strong solutions for Itô's stochastic equations via approximations

Cited by

2011An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process 2011A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients 2012Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models 2015Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients 2009On irregular functionals of SDEs and the Euler scheme 2015Loss of regularity for Kolmogorov equations 2013Convergence, non-negativity and stability of a new Milstein scheme with applications to finance

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Year1998

Typearticle

Published1998-04-01

VenuePotential Analysis

ISSN-L0926-2601

Languageen

Citations151

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1008605221617

openalex_workW1585178936

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