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Approximation of itô integral equations
1 references·3 citing·18 second hop
Approximation of itô integral equations (2005)Approximation of itô integral equationsNumerical Solution of Ito Integral Equations (1974)Numerical Solution of Ito Int…Optimal pointwise approximation of SDEs based on Brownian motion at discrete points (2004)Optimal pointwise approximati…New Representations of the Taylor–Stratonovich Expansion (2003)New Representations of the Ta…Weak approximation of a diffusion process in a bounded domain (1997)Weak approximation of a diffu…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)Solving Dirichlet Problems Numerically Using the Feynman–Kac Representation (2003)Simulation of stopped diffusions (2004)Stochastic Differential Equations (2006)Numerical solution of stochastic differential equations (2016)Stratonovich and Ito Stochastic Taylor Expansions (1991)Stochastic Differential Equations (2012)Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals of Multiplicities 1 to 6 from the Taylor-Ito and Taylor-Stratonovich Expansions Using Legendre Polynomials (2017)Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise (2018)Expansion of Iterated Stratonovich Stochastic Integrals of Fifth Multiplicity Based on Generalized Multiple Fourier Series (2018)The Rate of Convergence for Approximate Solutions of Stochastic Differential Equations (1989)Exact solutions and doubly efficient approximations of jump-diffusion itô equations (1998)A Gentle Introduction to the Integration of Stochastic Differential Equations (2007)
this work references cited by second hop

References

  • 1974Numerical Solution of Ito Integral Equations89 cited

Cited by

  • 2004Optimal pointwise approximation of SDEs based on Brownian motion at discrete points36 cited
  • 2003New Representations of the Taylor–Stratonovich Expansion29 cited
  • 1997Weak approximation of a diffusion process in a bounded domain25 cited

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