Numerical approximation of irregular SDEs via Skorokhod embeddings
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Cites work
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- scientific article; zbMATH DE number 5174014 (Why is no real title available?)
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients
- A note on Euler's approximations
- Class 𝐷 supermartingales
- Exact simulation of diffusions
- Finite, integrable and bounded time embeddings for diffusions
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- On solutions of one-dimensional stochastic differential equations without drift
- On the constructions of the skew Brownian motion
- Retrospective exact simulation of diffusion sample paths with applications
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Some mathematical models from population genetics. École d'Été de Probabilités de Saint-Flour XXXIX-2009
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The Euler scheme with irregular coefficients
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- Why are quadratic normal volatility models analytically tractable?
Cited in
(11)- On Skorokhod embeddings and Poisson equations
- A functional limit theorem for irregular SDEs
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting
- Recombining tree approximations for optimal stopping for diffusions
- Properties of the EMCEL scheme for approximating irregular diffusions
- Approximating exit times of continuous Markov processes
- A functional limit theorem for coin tossing Markov chains
- On the convergence order of a binary tree approximation of symmetrized diffusion processes
- The partially truncated Euler-Maruyama method and its stability and boundedness
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