Strong approximation of stochastic processes at random times and application to their exact simulation
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Cites work
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- A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
- A note on the sharp \(L^p\)-convergence rate of upcrossings to the Brownian local time
- An Itô type formula for the fractional Brownian motion in Brownian time
- Brownian motion in a Brownian crack
- Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
- Brownian-time processes: The PDE connection and the half-derivative generator
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Exact rates of convergence to Brownian local time
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional fields and applications
- Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
- Iterating Brownian motions, ad libitum
- Long memory in continuous-time stochastic volatility models
- Multilevel Monte Carlo Path Simulation
- Probabilistic construction of the solution of some higher order parabolic differential equation
- Strong approximation of fractional Brownian motion by moving averages of simple random walks.
- The Skorokhod embedding problem and its offspring
- Unbiased simulation of stochastic differential equations using parametrix expansions
Cited in
(5)- Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
- scientific article; zbMATH DE number 1165690 (Why is no real title available?)
- Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
- Convergence rate of strong approximations of compound random maps, application to SPDEs
- Strong approximation of some particular one-dimensional diffusions
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