STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (Q4979887): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0670
@@ Property / arXiv ID: 1210.0670 / rank @@
+Normal rank
@@ Property / cites work @@
+On irregular functionals of SDEs and the Euler scheme
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Continuous Markov processes and stochastic equations
+Normal rank
@@ Property / cites work @@
+Q3915610
@@ Property / cites work: Q3915610 / rank @@
+Normal rank
@@ Property / cites work @@
+An Asymptotic Expansion with Push-Down of Malliavin Weights
+Normal rank
@@ Property / OpenAlex ID @@
+W2791098244
@@ Property / OpenAlex ID: W2791098244 / rank @@
+Normal rank