SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
14 references·0 citing·28 second hop
Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations (2008)Weak Convergence of the Euler Scheme for …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…A duality approach for the weak approximation of stochastic differential equations (2006)A duality approach for the we…Discrete-time approximations of stochastic delay equations: The Milstein scheme (2004)Discrete-time approximations …Variance Reduction Methods for Simulation of Densities on Wiener Space (2002)Variance Reduction Methods fo…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Weak approximations. A Malliavin calculus approach (2000)Weak approximations. A Mallia…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Analysis on Wiener space and anticipating stochastic calculus (1998)Analysis on Wiener space and …Stochastic Analysis (1997)Stochastic AnalysisThe 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…The Malliavin calculus and stochastic delay equations (1991)The Malliavin calculus and st…Stochastic calculus with anticipating integrands (1988)Stochastic calculus with anti…Multiple Wiener Integral (1951)Stochastic calculus of variations and hypoelliptic operators (1978)Stochastic Differential Equations and Diffusion Processes (1983)A generalized clark representation formula, with application to optimal portfolios (1991)Forward, backward and symmetric stochastic integration (1993)Backward doubly stochastic differential equations and systems of quasilinear SPDEs (1994)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)On the Moments of the Modulus of Continuity of Itô Processes (2009)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)Stein’s method on Wiener chaos (2008)Malliavin Calculus for White Noise Driven Parabolic SPDEs (1998)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Simulation of BSDEs by Wiener chaos expansion (2014)A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)A mean-field stochastic maximum principle via Malliavin calculus (2012)Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

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
  • 1997Stochastic Analysis1,035 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1988Stochastic calculus with anticipating integrands496 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 2004Discrete-time approximations of stochastic delay equations: The Milstein scheme114 cited
  • 1998Analysis on Wiener space and anticipating stochastic calculus101 cited
  • 2002Variance Reduction Methods for Simulation of Densities on Wiener Space52 cited
  • 1991The Malliavin calculus and stochastic delay equations40 cited
  • 2006A duality approach for the weak approximation of stochastic differential equations34 cited
  • 2000Weak approximations. A Malliavin calculus approach34 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work