A note on convergence rate of a linearization method for the discretization of stochastic differential equations (Q718587): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: sde / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cnsns.2010.09.008 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2023728506 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local linearization method for the numerical solution of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation and inference for stochastic differential equations. With R examples. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The dynamics of stochastic volatility: evidence from underlying and options markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of continuous time stochastic processes by the local linearization method revisited / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3993249 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Langevin diffusions and Metropolis-Hastings algorithms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation of continuous time stochastic processes by a local linearization method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The local linearization scheme for nonlinear diffusion models with discontinuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Langevin-type models. I: Diffusions with given stationary distributions and their discretizations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Langevin-type models II: Self-targeting candidates for MCMC algorithms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3618396 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 12:08, 4 July 2024

scientific article
Language Label Description Also known as
English
A note on convergence rate of a linearization method for the discretization of stochastic differential equations
scientific article

    Statements

    A note on convergence rate of a linearization method for the discretization of stochastic differential equations (English)
    0 references
    0 references
    23 September 2011
    0 references
    0 references
    stochastic differential equations
    0 references
    local linearization method
    0 references
    Euler method
    0 references
    rate of convergence
    0 references
    0 references