SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multilevel Monte Carlo method for ergodic SDEs without contractivity
9 references·0 citing·34 second hop
Multilevel Monte Carlo method for ergodic SDEs without contractivity (2019)Multilevel Monte Carlo method for ergodic…Unbiased simulation of stochastic differential equations using parametrix expansions (2017)Unbiased simulation of stocha…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Numerical approximations of s…Monte Carlo and Quasi-Monte Carlo Methods (2013)Monte Carlo and Quasi-Monte C…Multilevel Path Simulation for Jump-Diffusion SDEs (2012)Multilevel Path Simulation fo…Stochastic differential equations and applications (2008)Stochastic differential equat…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times (1982)Semi-martingale inequalities …Option pricing when underlying stock returns are discontinuous (1976)Financial Modelling with Jump Processes (2003)Monte Carlo Methods in Financial Engineering (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modelling of extremal events in insurance and finance (1994)Proceedings of the 2002 Winter Simulation Conference (2002)Rare Event Simulation using Monte Carlo Methods (2009)Simulation Modeling and Analysis (2016)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)A note on tamed Euler approximations (2013)Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Forward, backward and symmetric stochastic integration (1993)Mouvement brownien et espaces de besov (1993)The generalized covariation process and Ito formula (1995)Un Cours sur les Intégrales Stochastiques (2002)The Asymptotic Efficiency of Simulation Estimators (1992)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Unbiased Monte Carlo estimate of stochastic differential equations expectations (2017)Bioconductor: open software development for computational biology and bioinformatics (2004)Brownian Motion and Stochastic Calculus (2007)Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation (2013)Uncertainty quantification and global sensitivity analysis of complex chemical process using a generalized polynomial chaos approach (2016)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)Modeling Term Structures of Defaultable Bonds (1999)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2008Stochastic differential equations and applications4,653 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
  • 1982Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times204 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 2013Monte Carlo and Quasi-Monte Carlo Methods177 cited
  • 2017Unbiased simulation of stochastic differential equations using parametrix expansions28 cited
  • 2012Multilevel Path Simulation for Jump-Diffusion SDEs24 cited

Cited by

No citing works inside the corpus for this window.

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