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Weak approximation of a diffusion process in a bounded domain
5 references·1 citing·18 second hop
Weak approximation of a diffusion process in a bounded domain (1997)Weak approximation of a diffusion process…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic Differential Equations (2006)Stochastic Differential Equat…Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications (2005)Efficient numerical schemes f…Approximation of itô integral equations (2005)Approximation of itô integral…Discretization and simulation of stochastic differential equations (1985)Discretization and simulation…Solving Dirichlet Problems Numerically Using the Feynman–Kac Representation (2003)Solving Dirichlet Problems Nu…Stochastic Calculus and Stochastic Models (1974)On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)Stochastic Differential Equations and Diffusion Processes (1983)Option Pricing Under Incompleteness and Stochastic Volatility (1992)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)Simulation and the Monte Carlo Method (1981)Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution (1986)Time Discrete Taylor Approximations for Itǒ Processes with Jump Component (1988)Arbitrage-free discretization of lognormal forward Libor and swap rate models (2000)Numerical Solution of Ito Integral Equations (1974)New Representations of the Taylor–Stratonovich Expansion (2003)Optimal pointwise approximation of SDEs based on Brownian motion at discrete points (2004)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1985Discretization and simulation of stochastic differential equations197 cited
  • 2005Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications106 cited
  • 2005Approximation of itô integral equations45 cited

Cited by

  • 2003Solving Dirichlet Problems Numerically Using the Feynman–Kac Representation23 cited

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