Approximations of non-smooth integral type functionals of one dimensional diffusion processes
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Cites work
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- A simple construction of certain diffusion processes
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Edokko options: a new framework of barrier options
- Higher-order implicit strong numerical schemes for stochastic differential equations
- On asymptotic errors in discretization of processes
- On the discrete approximation of occupation time of diffusion processes
- Optimal investment strategy to minimize occupation time
- Rates of convergence to the local time of a diffusion
- Retrospective exact simulation of diffusion sample paths with applications
- Sharp estimates for the convergence of the density of the Euler scheme in small time
- The Malliavin Calculus and Related Topics
- The Valuation of Executive Stock Options in an Intensity-Based Framework *
Cited in
(16)- Approximation of occupation time functionals
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Optimal L^2-approximation of occupation and local times for symmetric stable processes
- Approximation of SDEs: a stochastic sewing approach
- Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
- Intertwining relations for one-dimensional diffusions and application to functional inequalities
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift
- Accuracy of discrete approximation for integral functionals of Markov processes
- Fast L₂-approximation of integral-type functionals of Markov processes
- Weak approximation rates for integral functionals of Markov processes
- Rates of approximation of nonsmooth integral-type functionals of Markov processes
- Central limit theorems for discretized occupation time functionals
- Quantifying a convergence theorem of Gyöngy and Krylov
- Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
- On weak uniqueness and distributional properties of a solution to an SDE with -stable noise
- Strong approximation of some particular one-dimensional diffusions
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