SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Adaptive weak approximation of reflected and stopped diffusions
11 references·1 citing·35 second hop
Adaptive weak approximation of reflected and stopped diffusions (2010)Adaptive weak approximation of reflected …Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations (2005)Convergence Rates for Adaptiv…A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)A symmetrized Euler scheme fo…Euler's approximations of solutions of SDEs with reflecting boundary (2001)Euler's approximations of sol…Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)Euler schemes and half-space …Adaptive weak approximation of stochastic differential equations (2001)Adaptive weak approximation o…Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Numerical Approximation for Functionals of Reflecting Diffusion Processes (1998)Numerical Approximation for F…Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)Discretization Error in Simul…Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Stochastic differential equat…SDE Based Regression for Linear Random PDEs (2017)SDE Based Regression for Line…Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equations with reflecting boundary conditions (1984)Sequential Control Variates for Functionals of Markov Processes (2005)Some stochastic particle methods for nonlinear parabolic PDEs (2005)The law of the Euler scheme for stochastic differential equations (1996)Continuous Martingales and Brownian Motion (1999)Exact Monte Carlo simulation of killed diffusions (2008)Stochastic finite differences for elliptic diffusion equations in stratified domains (2015)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Multivalued Stochastic Differential Equations: Convergence of a Numerical Scheme (2003)On the Moments of the Modulus of Continuity of Itô Processes (2009)Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces (2013)Stochastic Differential Equations and Diffusion Processes (1983)White noise driven SPDEs with reflection (1993)Problàme de Skorohod multivoque (1998)Stochastic Differential Equations (2014)Stochastic Integration and Differential Equations (2005)Adaptive Multilevel Monte Carlo Simulation (2011)Implementation and analysis of an adaptive multilevel Monte Carlo algorithm (2013)Numerical solution of stochastic differential equations (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Stochastic differential equations and applications (2008)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)First passage times of a jump diffusion process (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A Factorisation of Diffusion Measure and Finite Sample Path Constructions (2008)Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (2004)Advanced Monte Carlo Methods for Barrier and Related Exotic Options (2009)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 1987Stochastic differential equations for multi-dimensional domain with reflecting boundary229 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 1995Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion127 cited
  • 2004A symmetrized Euler scheme for an efficient approximation of reflected diffusions89 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited
  • 2001Euler's approximations of solutions of SDEs with reflecting boundary84 cited
  • 2001Adaptive weak approximation of stochastic differential equations80 cited
  • 1998Numerical Approximation for Functionals of Reflecting Diffusion Processes56 cited
  • 2005Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations39 cited

Cited by

  • 2017SDE Based Regression for Linear Random PDEs7 cited

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