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Simulating diffusion processes in discontinuous media: A numerical scheme with constant time steps
8 references·1 citing·29 second hop
Simulating diffusion processes in discontinuous media: A numerical scheme with constant time steps (2012)Simulating diffusion processes in discont…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stopped diffusion processes: Boundary corrections and overshoot (2009)Stopped diffusion processes: …On the constructions of the skew Brownian motion (2006)On the constructions of the s…On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients (2006)On random walk simulation of …A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (2006)A scheme for simulating one-d…On the Constructions of the Skew Brownian Motion (2005)On the Constructions of the S…Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Statistical estimation of the Oscillating Brownian Motion (2018)Statistical estimation of the…A Continuity Correction for Discrete Barrier Options (1997)Continuous Martingales and Brownian Motion (1999)Mean Exit Times and the Multilevel Monte Carlo Method (2013)Almost sure optimal hedging strategy (2014)One — dimensional stochastic differential equations involving the local times of the unknown process (1984)Continuous Martingales and Brownian Motion (1991)One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times (2012)A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (2019)Stopping Times and Tightness. II (1989)Handbook of Brownian Motion — Facts and Formulae (1996)Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations (2020)Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Limit Theorems for Stochastic Processes (2003)Discretization of Processes (2011)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Planar diffusions with rank-based characteristics and perturbed Tanaka equations (2012)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Skew Ornstein–Uhlenbeck processes and their financial applications (2014)DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (2016)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 2006On the constructions of the skew Brownian motion183 cited
  • 2005On the Constructions of the Skew Brownian Motion144 cited
  • 2006A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients73 cited
  • 2009Stopped diffusion processes: Boundary corrections and overshoot70 cited
  • 2006On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients59 cited

Cited by

  • 2018Statistical estimation of the Oscillating Brownian Motion32 cited

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