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The law of the Euler scheme for stochastic differential equations

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References

1995The Malliavin Calculus and Related Topics1,545 cited
1996The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density187 cited
1994Variance Reduction for Simulated Diffusions94 cited

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2015Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts33 cited
2011Discretization error of stochastic integrals32 cited
2017Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift28 cited

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