Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Strong approximations of stochastic differential equations with jumps

8 references·5 citing·39 second hop

FromToDepth

this work references cited by second hop

References

2016Numerical solution of stochastic differential equations5,001 cited
2005Stochastic Integration and Differential Equations4,594 cited
1983Stochastic Differential Equations and Diffusion Processes3,836 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
2003Handbook of heavy tailed distributions in finance351 cited
1997The Euler scheme for Lévy driven stochastic differential equations244 cited
2003Jump-Diffusion Models91 cited

Cited by

2010Jump-adapted discretization schemes for Lévy-driven SDEs59 cited
2008Adaptive Weak Approximation of Diffusions with Jumps38 cited
2016A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models33 cited
2019Convergence and stability of the backward Euler method for jump–diffusion SDEs with super-linearly growing diffusion and jump coefficients26 cited
2007Finite approximation schemes for Lévy processes, and their application to optimal stopping problems25 cited

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