On explicit local solutions of Itô diffusions (Q1733803): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2018.12.067
+Normal rank
@@ Property / OpenAlex ID @@
+W2907467494
@@ Property / OpenAlex ID: W2907467494 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic flows and Taylor series
@@ Property / cites work: Stochastic flows and Taylor series / rank @@
+Normal rank
@@ Property / cites work @@
+Q5598133
@@ Property / cites work: Q5598133 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion of stochastic flows
@@ Property / cites work: Asymptotic expansion of stochastic flows / rank @@
+Normal rank
@@ Property / cites work @@
+The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4131410
@@ Property / cites work: Q4131410 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3446272
@@ Property / cites work: Q3446272 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4029002
@@ Property / cites work: Q4029002 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On exact filters for continuous signals with discrete observations
+Normal rank
@@ Property / cites work @@
+Q4955456
@@ Property / cites work: Q4955456 / rank @@
+Normal rank
@@ Property / cites work @@
+EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
+Normal rank
@@ Property / cites work @@
+On explicit solutions to stochastic differential equations
+Normal rank
@@ Property / cites work @@
+BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES
@@ Property / cites work: BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES / rank @@
+Normal rank
@@ Property / cites work @@
+VIX-linked fees for GMWBs via explicit solution simulation methods
+Normal rank
@@ Property / cites work @@
+Q3217380
@@ Property / cites work: Q3217380 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic expansions and Hopf algebras
@@ Property / cites work: Stochastic expansions and Hopf algebras / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+On the gap between deterministic and stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations and Nilpotent Lie algebras
+Normal rank