Pages that link to "Item:Q1908538"
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The following pages link to The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function (Q1908538):
Displayed 50 items.
- Time discretization and quantization methods for optimal multiple switching problem (Q424519) (← links)
- A contrast estimator for completely or partially observed hypoelliptic diffusion (Q432498) (← links)
- Weak error for stable driven stochastic differential equations: expansion of the densities (Q548158) (← links)
- Discretization error of stochastic integrals (Q640062) (← links)
- Convergence of the stochastic Euler scheme for locally Lipschitz coefficients (Q656817) (← links)
- Infinite-dimensional quadrature and approximation of distributions (Q839653) (← links)
- Split-step forward methods for stochastic differential equations (Q847245) (← links)
- Euler scheme and tempered distributions (Q850027) (← links)
- A duality approach for the weak approximation of stochastic differential equations (Q862201) (← links)
- Interpolation and approximation in \(L_{2}(\gamma )\) (Q868825) (← links)
- Complexity and effective dimension of discrete Lévy areas (Q883328) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains (Q957725) (← links)
- On irregular functionals of SDEs and the Euler scheme (Q964680) (← links)
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff (Q964681) (← links)
- A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method (Q964684) (← links)
- Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type (Q964936) (← links)
- Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
- Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs (Q1275944) (← links)
- Error estimates for the binomial approximation of American put options (Q1296626) (← links)
- Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions (Q1404625) (← links)
- Numerical error for SDE: Asymptotic expansion and hyperdistributions (Q1408179) (← links)
- Analysis of stochastic numerical schemes for the evolution equations of geophysics (Q1433200) (← links)
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions (Q1769777) (← links)
- Weak approximation of killed diffusion using Euler schemes. (Q1877395) (← links)
- The Euler scheme for Lévy driven stochastic differential equations: limit theorems. (Q1878983) (← links)
- The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus (Q1897655) (← links)
- Snell envelope with small probability criteria (Q1935508) (← links)
- An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
- Monte-Carlo simulation of stochastic differential systems - a geometrical approach (Q2476884) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing (Q2496505) (← links)
- Edgeworth-type expansions for transition densities of Markov chains converging to diffusions (Q2496939) (← links)
- Probability density estimation in stochastic environmental models using reverse representa\-tions (Q2505928) (← links)
- Improving Monte Carlo simulations by Dirichlet forms (Q2565527) (← links)
- Numerical solution of conservative finite-dimensional stochastic Schrödinger equations (Q2572404) (← links)
- Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process. (Q2574545) (← links)
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (Q2574601) (← links)
- Approximation of quantiles of components of diffusion processes. (Q2574616) (← links)
- Approximation of jump diffusions in finance and economics (Q2642601) (← links)
- Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods (Q2914786) (← links)
- Weak approximation of stochastic partial differential equations: the nonlinear case (Q3081276) (← links)
- Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations (Q3091959) (← links)
- Stability in Distribution of Numerical Solutions for Stochastic Differential Equations (Q3158173) (← links)
- On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271) (← links)
- Some new simulations schemes for the evaluation of Feynman–Kac representations (Q3516794) (← links)
- CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (Q3580636) (← links)
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL (Q3621565) (← links)
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications (Q4409045) (← links)