On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723): Difference between revisions

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English	On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter	scientific article

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title

On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (English)

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Sebastian Niklitschek-Soto

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17 November 2015

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/proc/201444016

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cites work

A mean-reverting SDE on correlation matrices

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Exact and high-order discretization schemes for Wishart processes and their affine extensions

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On the discretization schemes for the CIR (and Bessel squared) processes

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High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling

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Approximation Methods which Converge with Probability one

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Q4720608

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Multilevel Monte Carlo Path Simulation

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Euler scheme and tempered distributions

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Q4778955

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Q4002114

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Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing

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Stochastic approximation methods for constrained and unconstrained systems

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Q4421713

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Optimal posting price of limit orders: learning by trading

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Stochastic approximation with averaging innovation applied to Finance

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A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method

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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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On the Construction and Comparison of Difference Schemes

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Identifiers

zbMATH Open document ID

1329.65012

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DOI

10.1051/proc/201444016

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3451723

@@ Property / cites work @@
+A mean-reverting SDE on correlation matrices
@@ Property / cites work: A mean-reverting SDE on correlation matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Exact and high-order discretization schemes for Wishart processes and their affine extensions
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
+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 @@
+Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
+Normal rank
@@ Property / cites work @@
+Approximation Methods which Converge with Probability one
+Normal rank
@@ Property / cites work @@
+Q4720608
@@ Property / cites work: Q4720608 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme and tempered distributions
@@ Property / cites work: Euler scheme and tempered distributions / 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 @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
+Normal rank
@@ Property / cites work @@
+Stochastic approximation methods for constrained and unconstrained systems
+Normal rank
@@ Property / cites work @@
+Q4421713
@@ Property / cites work: Q4421713 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal posting price of limit orders: learning by trading
+Normal rank
@@ Property / cites work @@
+Stochastic approximation with averaging innovation applied to Finance
+Normal rank
@@ Property / cites work @@
+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
+Normal rank
@@ Property / cites work @@
+A new extrapolation method for weak approximation schemes with applications
+Normal rank
@@ Property / cites work @@
+On the Construction and Comparison of Difference Schemes
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank