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The law of the Euler scheme for stochastic differential equations · Study

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ArticleThe law of the Euler scheme for stochastic differential equations

Vlad Bally1996

OA

Articlebronze1996

The law of the Euler scheme for stochastic differential equations

Vlad Bally · Denis Talay

375 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Numerical methods for differential equations

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References

2016Numerical solution of stochastic differential equations 1983Stochastic Differential Equations and Diffusion Processes 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics

Cited by

2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets 2005On the discretization schemes for the CIR (and Bessel squared) processes 1997The Euler scheme for Lévy driven stochastic differential equations 2007Improved Multilevel Monte Carlo Convergence using the Milstein Scheme 2000Weak approximation of killed diffusion using Euler schemes 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models 2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing 2010Weak approximation of stochastic partial differential equations: the nonlinear case

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Details

Year1996

Typearticle

Published1996-03-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations375

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01303802

openalex_workW2607399731

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