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ArticleFirst order strong approximations of scalar SDEs defined in a domain

Andreas Neuenkirch2014

Article2014

First order strong approximations of scalar SDEs defined in a domain

Andreas Neuenkirch · Łukasz Szpruch

134 citations·0/0 files stored·Numerische Mathematik

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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References

2007Brownian Motion and Stochastic Calculus 2016Numerical solution of stochastic differential equations 1998Brownian Motion and Stochastic Calculus 2008Multilevel Monte Carlo Path Simulation 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients 2009A comparison of biased simulation schemes for stochastic volatility models 2008Simple and efficient simulation of the Heston stochastic volatility model 2005On the discretization schemes for the CIR (and Bessel squared) processes

Cited by

2020On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients 2015Loss of regularity for Kolmogorov equations 2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients 2020Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition 2024Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations

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Year2014

Typearticle

Published2014-01-31

VenueNumerische Mathematik

ISSN-L0029-599X

Languageen

Citations134

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00211-014-0606-4

openalex_workW2011337807

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2017Strong convergence rates for Cox–Ingersoll–Ross processes — Full parameter range

2019Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion

2015Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts