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Optimal pointwise approximation of SDE’s from inexact information
8 references·0 citing·25 second hop
Optimal pointwise approximation of SDE’s from inexact information (2017)Optimal pointwise approximation of SDE’s …Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm (2014)Strong approximation of solut…Stochastic Differential Equations and Applications (2010)Stochastic Differential Equat…Stochastic differential equations and applications (2008)Stochastic differential equat…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Strong approximation of systems of stochastic differential equations (2002)Strong approximation of syste…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Control of a Solution of a Stochastic Integral Equation (1972)An equilibrium characterization of the term structure (1977)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Introduction to Stochastic Integration (2006)Construction of Equivalent Stochastic Differential Equation Models (2008)Semimartingales (1982)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling and Forecasting Realized Volatility (2003)Stochastic Differential Equations (2006)An Inequality in the Theory of Stochastic Integrals (1971)Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems (1977)Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013)Boundary conditions for the single-factor term structure equation (2016)An overview on uncertainty quantification and probabilistic learning on manifolds in multiscale mechanics of materials (2023)Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs (2013)Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise (2023)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2008Stochastic differential equations and applications4,653 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 1976Stochastic Differential Equations and Applications1,412 cited
  • 2010Stochastic Differential Equations and Applications360 cited
  • 2002Strong approximation of systems of stochastic differential equations27 cited
  • 2014Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm26 cited

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