Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
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Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- A theory of the term structure of interest rates
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- On the discretization schemes for the CIR (and Bessel squared) processes
- Pricing interest-rate-derivative securities
Cited in
(88)- On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
- Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
- Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
- On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
- Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
- Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
- Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
- The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
- On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
- On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- A stochastic model for cell adhesion to the vascular wall
- On non-polynomial lower error bounds for adaptive strong approximation of SDEs
- Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients
- Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
- Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy
- Jacobi stochastic volatility factor for the LIBOR market model
- A non-standard-Euler-Maruyama scheme
- Chi-square simulation of the CIR process and the Heston model
- An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
- On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Inequivalence of nonequilibrium path ensembles: the example of stochastic bridges
- Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
- Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS- method
- Ergodic approximation of the distribution of a stationary diffusion: rate of convergence
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- Backward simulation methods for pricing American options under the CIR process
- Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
- A backward Monte Carlo approach to exotic option pricing
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Quasi-sure convergence rate of Euler scheme for stochastic differential equations
- Gamma expansion of the Heston stochastic volatility model
- The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model
- Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
- Series Expansions and Direct Inversion for the Heston Model
- Simulation of non-Lipschitz stochastic differential equations driven by \(\alpha\)-stable noise: a method based on deterministic homogenization
- Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
- Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
- On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
- A comparison of biased simulation schemes for stochastic volatility models
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- Concentration inequalities for Euler schemes
- On the Discrete-Time Simulation of the Rough Heston Model
- Approximation of the distribution of a stationary Markov process with application to option pricing
- An adaptive splitting method for the Cox-Ingersoll-Ross process
- The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients
- A strongly monotonic polygonal Euler scheme
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
- The logarithmic truncated EM method with weaker conditions
- Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
- Approximating inverse cumulative distribution functions to produce approximate random variables
- On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
- Convergence of modified truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
- On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
- Numerical schemes for radial Dunkl processes
- Strong order one convergence of the projected Euler-Maruyama method for scalar SDEs defined in the positive domain
- Ergodicity and law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
- An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model
- Strong order one convergence of the projected Euler-Maruyama method for the Wright-Fisher model
- A strong order 1.5 boundary preserving discretization scheme for scalar SDEs defined in a domain
- Positivity-preserving numerical scheme for the alpha-constant elasticity of variance process
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
- Boundary-preserving Lamperti--Itô--Taylor approximations for some stochastic differential equations
- Unconditionally positivity-preserving explicit order-one strong approximations of financial SDEs with non-Lipschitz coefficients
- Two novel domain-preserving schemes for a class of stochastic differential equations defined in a domain
- First order strong approximations of scalar SDEs defined in a domain
- Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure
- Realised volatility and parametric estimation of Heston SDEs
- Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
- Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
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