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

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-Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
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-Salvador Ortiz-Latorre
@@ Property / author: Salvador Ortiz-Latorre / rank @@
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+Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
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+Salvador Ortiz-Latorre
@@ Property / author: Salvador Ortiz-Latorre / rank @@
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+.4877
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Q4726487
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+Strong approximations of stochastic differential equations with jumps
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+Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
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+Q4283467
@@ Property / cites work: Q4283467 / rank @@
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+Efficient and Practical Implementations of Cubature on Wiener Space
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+Q4004325
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@@ Property / cites work @@
+Jump-adapted discretization schemes for Lévy-driven SDEs
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+The approximate Euler method for Lévy driven stochastic differential equations
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+Q4134389
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@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
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+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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@@ Property / cites work @@
+A new extrapolation method for weak approximation schemes with applications
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@@ Property / cites work @@
+Monte Carlo option pricing for tempered stable (CGMY) processes
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@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations
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@@ Property / cites work @@
+Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
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@@ Property / cites work @@
+An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
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+High Order Weak Approximation Schemes for Lévy-Driven SDEs
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+W1969587884
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+High Order Weak Approximation Schemes for Lévy-Driven SDEs
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+Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
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+Approximations for Solutions of Lévy-Type Stochastic Differential Equations
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+Jump-adapted discretization schemes for Lévy-driven SDEs
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+On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes
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+Total variation distance between a jump-equation and its Gaussian approximation
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+On finite difference schemes for partial integro-differential equations of Lévy type
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+Strong approximations of stochastic differential equations with jumps
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+Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
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+Publication:3189423