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Sequential Control Variates for Functionals of Markov Processes
10 references·0 citing·33 second hop
Sequential Control Variates for Functionals of Markov Processes (2005)Sequential Control Variates for Functiona…Stochastic differential equations and applications (2008)Stochastic differential equat…Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)Euler schemes and half-space …Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Numerical Approximation for Functionals of Reflecting Diffusion Processes (1998)Numerical Approximation for F…Efficient Monte Carlo Simulation of Security Prices (1995)Efficient Monte Carlo Simulat…Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Continuous martingales and brownian motion (1993)Continuous martingales and br…Méthodes probabilistes pour les équations de la physique (1989)Méthodes probabilistes pour l…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1983)Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models (2000)Short-term interest rate dynamics: a spatial approach (2002)Saddlepoint approximations for continuous-time Markov processes (2005)Stochastic Integration and Differential Equations (2005)Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Some stochastic particle methods for nonlinear parabolic PDEs (2005)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)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)The law of the Euler scheme for stochastic differential equations (1996)A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (2004)Advanced Monte Carlo Methods for Barrier and Related Exotic Options (2009)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Estimating stochastic differential equations efficiently by minimum chi-squared (1997)Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier (2004)Efficient Simulation of the Heston Stochastic Volatility Model (2006)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations (2003)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 1995Efficient Monte Carlo Simulation of Security Prices173 cited
  • 1993Continuous martingales and brownian motion97 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited
  • 1998Numerical Approximation for Functionals of Reflecting Diffusion Processes56 cited
  • 1989Méthodes probabilistes pour les équations de la physique28 cited

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