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Stochastic Differential Equations
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Stochastic Differential Equations (1994)Stochastic Differential EquationsCalibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts (2012)Calibration and Filtering for…OPTIMAL POINTWISE APPROXIMATION OF SDES BASED ON BROWNIAN MOTION AT DISCRETE POINTS (1) (2005)OPTIMAL POINTWISE APPROXIMATI…Optimal pointwise approximation of SDEs based on Brownian motion at discrete points (2004)Optimal pointwise approximati…Stochastic Differential Equations (1975)Discretization and simulation of stochastic differential equations (1985)The Optimal Discretization of Stochastic Differential Equations (2001)Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (2008)Adaptive Euler–Maruyama Method for SDEs with Non-globally Lipschitz Drift (2018)On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes (2018)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Numerical solution of stochastic differential equations (2016)An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise (2007)A strong order 3/4 method for SDEs with discontinuous drift coefficient (2020)
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  • 2005OPTIMAL POINTWISE APPROXIMATION OF SDES BASED ON BROWNIAN MOTION AT DISCRETE POINTS (1)45 cited
  • 2004Optimal pointwise approximation of SDEs based on Brownian motion at discrete points36 cited
  • 2012Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts29 cited

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