SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
12 references·2 citing·24 second hop
Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition (2020)Mean-square convergence rates of stochast…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)Euler approximations with var…An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (2016)An Explicit Euler Scheme with…Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Numerical approximations of s…First order strong approximations of scalar SDEs defined in a domain (2014)First order strong approximat…A note on tamed Euler approximations (2013)A note on tamed Euler approxi…Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process (2012)Strong order one convergence …Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)Strong convergence rates for …Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Strong convergence of an expl…Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong and weak divergence in…Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (2010)Numerical simulation of a str…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (2023)Mean-square convergence rates…Positivity preserving stochastic θ-methods for selected SDEs (2021)Positivity preserving stochas…Stochastic differential equations and their applications (1997)Multilevel Monte Carlo Path Simulation (2008)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)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochastic Calculus (2007)Loss of regularity for Kolmogorov equations (2015)Stochastic differential equations and applications (2008)The Econometrics of Financial Markets (2012)Convergence, non-negativity and stability of a new Milstein scheme with applications to finance (2013)Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (2013)Controlled Diffusion Processes (1980)Adaptive Euler–Maruyama method for SDEs with nonglobally Lipschitz drift (2020)Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations (2024)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Simulation of McKean–Vlasov SDEs with super-linear growth (2020)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 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
  • 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
  • 2014First order strong approximations of scalar SDEs defined in a domain134 cited
  • 2012Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients113 cited
  • 2010Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model105 cited
  • 2012Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process103 cited
  • 2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients64 cited

Cited by

  • 2023Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients

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

24 cited
  • 2021Positivity preserving stochastic θ-methods for selected SDEs23 cited