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Numerical error for SDE: Asymptotic expansion and hyperdistributions
5 references·0 citing·19 second hop
Numerical error for SDE: Asymptotic expansion and hyperdistributions (2003)Numerical error for SDE: Asymptotic expan…Analysis of Error with Malliavin Calculus: Application to Hedging (2003)Analysis of Error with Mallia…Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Weak rate of convergence for an Euler scheme of nonlinear SDE’s (1997)Weak rate of convergence for …The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Stochastic Differential Equations and Diffusion Processes (1981)Applications of the Malliavin Calculus, Part I (1984)The Malliavin Calculus and Related Topics (1995)Continuous Martingales and Brownian Motion (1999)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)Stochastic Differential Equations and Diffusion Processes (1983)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)The Malliavin Calculus and Related Topics (2006)Multilevel Monte Carlo Path Simulation (2008)Numerical solution of stochastic differential equations (2016)An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)Itô’s stochastic calculus: Its surprising power for applications (2010)Functional Itô calculus and stochastic integral representation of martingales (2013)Importance sampling for McKean-Vlasov SDEs (2023)
this work references cited by second hop

References

  • 1996The law of the Euler scheme for stochastic differential equations377 cited
  • 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 1997Weak rate of convergence for an Euler scheme of nonlinear SDE’s27 cited
  • 2003Analysis of Error with Malliavin Calculus: Application to Hedging18 cited

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