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A Note on Euler's Approximations
2 references·16 citing·33 second hop
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this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 1996Existence of strong solutions for Itô's stochastic equations via approximations400 cited

Cited by

  • 2011An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process147 cited
  • 2011A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients124 cited
  • 2012Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients113 cited
  • 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
  • 2015Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients86 cited
  • 2009On irregular functionals of SDEs and the Euler scheme85 cited
  • 2015Loss of regularity for Kolmogorov equations81 cited
  • 2013Convergence, non-negativity and stability of a new Milstein scheme with applications to finance79 cited
  • 2013Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations78 cited
  • 2008Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients73 cited
  • 2017A strong order $1/2$ method for multidimensional SDEs with discontinuous drift67 cited

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  • 2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients64 cited
  • 2015A numerical method for SDEs with discontinuous drift60 cited
  • 2016Efficient simulation of nonlinear parabolic spdes with additive noise60 cited
  • 2009Pathwise Numerical Approximations of SPDEs with Additive Noise under Non-global Lipschitz Coefficients59 cited
  • 2017Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient58 cited