Optimal simulation schemes for Lévy driven stochastic differential equations (Q3189423): Difference between revisions

@@ Property / author @@
-Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
-Normal rank
@@ Property / author @@
-Salvador Ortiz-Latorre
@@ Property / author: Salvador Ortiz-Latorre / rank @@
-Normal rank
@@ Property / author @@
+Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
+Normal rank
@@ Property / author @@
+Salvador Ortiz-Latorre
@@ Property / author: Salvador Ortiz-Latorre / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / arXiv ID @@
+.4877
@@ Property / arXiv ID: 1204.4877 / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Approximations of small jumps of Lévy processes with a view towards simulation
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
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@@ Property / cites work @@
+Strong approximations of stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
+Normal rank
@@ Property / cites work @@
+Q4283467
@@ Property / cites work: Q4283467 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient and Practical Implementations of Cubature on Wiener Space
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+Q4004325
@@ Property / cites work: Q4004325 / rank @@
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+Jump-adapted discretization schemes for Lévy-driven SDEs
+Normal rank
@@ Property / cites work @@
+The approximate Euler method for Lévy driven stochastic differential equations
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@@ Property / cites work @@
+Q4134389
@@ Property / cites work: Q4134389 / rank @@
+Normal rank
@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Weak Approximation of Diffusions with Jumps
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@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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+A new extrapolation method for weak approximation schemes with applications
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+Monte Carlo option pricing for tempered stable (CGMY) processes
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+The Euler scheme for Lévy driven stochastic differential equations
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+Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
+Normal rank
@@ Property / cites work @@
+An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
+Normal rank
@@ Property / cites work @@
+High Order Weak Approximation Schemes for Lévy-Driven SDEs
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@@ Property / OpenAlex ID @@
+W1969587884
@@ Property / OpenAlex ID: W1969587884 / rank @@
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