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Interpolation and approximation in L2(γ)
11 references·0 citing·32 second hop
Interpolation and approximation in L2(γ) (2006)Interpolation and approximation in L2(γ)Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Weighted BMO and discrete time hedging within the Black-Scholes model (2004)Weighted BMO and discrete tim…On approximation of a class of stochastic integrals and interpolation (2004)On approximation of a class o…Quantitative approximation of certain stochastic integrals (2002)Quantitative approximation of…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density (1996)The Law of the Euler Scheme f…The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Fractional order Sobolev spaces on Wiener space (1993)Fractional order Sobolev spac…Adapted solution of a backward stochastic differential equation (1990)Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (2009)Generalized fractional smoothness and Lp -variation of BSDEs with non-Lipschitz terminal condition (2012)Stochastic Differential Equations and Applications (1976)Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Continuous Martingales and Brownian Motion (1999)Delta-hedging vega risk? (2004)L2 -time regularity of BSDEs with irregular terminal functions (2010)Brownian Motion and Stochastic Calculus (1988)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Asymptotic analysis of hedging errors in models with jumps (2008)The Pricing of Options and Corporate Liabilities (1973)The Euler scheme with irregular coefficients (2002)Variance Reduction Methods for Simulation of Densities on Wiener Space (2002)Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models (2004)Stochastic Differential Equations and Diffusion Processes (1983)Applications of the Malliavin calculus. II (1985)Dirichlet Forms and Analysis on Wiener Space (1991)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Weak approximation of killed diffusion using Euler schemes (2000)Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals (2004)Minimum variance importance samplingviaPopulation Monte Carlo (2007)The Euler scheme for Lévy driven stochastic differential equations (1997)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)On the discretization schemes for the CIR (and Bessel squared) processes (2005)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 1996The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density187 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 2002Quantitative approximation of certain stochastic integrals53 cited
  • 1993Fractional order Sobolev spaces on Wiener space50 cited
  • 2004On approximation of a class of stochastic integrals and interpolation46 cited
  • 2004Weighted BMO and discrete time hedging within the Black-Scholes model46 cited

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