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Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

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References

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

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2018Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient44 cited
2003A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations44 cited
2016From Rough Path Estimates to Multilevel Monte Carlo43 cited
2005Asymptotic properties of Monte Carlo estimators of diffusion processes26 cited

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