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Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
3 references·3 citing·19 second hop
Resolution trajectorielle et analyse numerique des equations differentielles stochastiques (1983)Resolution trajectorielle et analyse nume…Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Stochastic Integration and $L…On the Gap Between Deterministic and Stochastic Ordinary Differential Equations (1978)On the Gap Between Determinis…Liens entre équations différentielles stochastiques et ordinaires (1977)Liens entre équations différe…The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem (2020)The Euler–Maruyama scheme for…Milstein’s type schemes for fractional SDEs (2009)Milstein’s type schemes for f…A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one (2008)A simple theory for the study…Differential equations driven by rough signals (1998)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Integration with respect to fractal functions and stochastic calculus. I (1998)Differential equations driven by fractional Brownian motion (2002)Discretizing the fractional Lévy area (2009)A New Representation for Stochastic Integrals and Equations (1966)Optimal Control for Partially Observed Diffusions (1982)Discretization and simulation of stochastic differential equations (1985)Stochastic Differential Equations (1992)Brownian motion and stochastic calculus (1991)The Malliavin Calculus and Related Topics (2006)Brownian Motion and Stochastic Calculus (2007)A strong order 3/4 method for SDEs with discontinuous drift coefficient (2020)Approximation of SDEs: a stochastic sewing approach (2021)Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young (1994)On pathwise stochastic integration (1995)Constructing sublinear expectations on path space (2013)Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006)
this work references cited by second hop

References

  • 1978On the Gap Between Deterministic and Stochastic Ordinary Differential Equations382 cited
  • 1977Liens entre équations différentielles stochastiques et ordinaires225 cited
  • 1981Stochastic Integration and $L^p$-Theory of Semimartingales179 cited

Cited by

  • 2020The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem36 cited
  • 2009Milstein’s type schemes for fractional SDEs33 cited
  • 2008A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one33 cited

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