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On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
12 references·0 citing·28 second hop
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References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2009Hybrid Switching Diffusions700 cited
  • 2010Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients431 cited
  • 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients428 cited
  • 2001Stock Trading: An Optimal Selling Rule297 cited
  • 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
  • 2013A note on tamed Euler approximations185 cited
  • 2016Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients174 cited
  • 2019On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients47 cited
  • 2017On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients24 cited
  • 2011Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations20 cited

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