Discretization and simulation of stochastic differential equations
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Cites work
- scientific article; zbMATH DE number 3658779 (Why is no real title available?)
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- Numerical initial value problems in ordinary differential equations.
- On the gap between deterministic and stochastic ordinary differential equations
- Stochastic differential equations and Nilpotent Lie algebras
Cited in
(86)- Conditional minimax filtering of processes in nonlinear stochastic systems
- Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)
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- Time discretization of a setvalued stochastic dynamic system
- Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
- scientific article; zbMATH DE number 822846 (Why is no real title available?)
- scientific article; zbMATH DE number 4032733 (Why is no real title available?)
- On Markov modelling of turbulence
- Approximations to solutions of the zakai filtering equation
- Discrete approximation of stochastic differential equations
- Three ways to solve partial differential equations with neural networks — A review
- Adaptive schemes for the numerical solution of SDEs -- a comparison
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
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- On Modeling Questions In Security Valuation
- A survey of numerical methods for stochastic differential equations
- Computer simulation of diffusions driven by \(\alpha\)-stable Lévy motion
- Numerical approximation of SDEs with fractional noise and distributional drift
- A multiresolution method for parameter estimation of diffusion processes
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Simultaneous time and chance discretization for stochastic differential equations
- Simulation studies on time discrete diffusion approximations
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- Predictive density estimators for daily volatility based on the use of realized measures
- Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes
- On weak implicit and predictor-corrector methods
- Option Pricing Under Incompleteness and Stochastic Volatility
- Approximating and Simulating Multivalued Stochastic Differential Equations
- Wong-Zakai approximations for stochastic differential equations
- Numerical solution of differential equations with colored noise
- ARCH models as diffusion approximations
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- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
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- Computer simulations of multiplicative stochastic differential equations
- Stratonovich–Taylor expansion and numerical methods∗
- Numerical methods for linear boundary value problems based on Feynman-Kac representations
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- Approximation of continuous time stochastic processes by the local linearization method revisited
- Nonlinear prediction of crown–of–thorns outbreaks on the great barrier reef
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Efficient discretization of stochastic integrals
- Simulation of stochastic differential equations
- The solving of boundary value problems by numerical integration of stochastic equations
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- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Stochastic model of leukocyte chemosensory movement
- The optimal discretization of stochastic differential equations
- Euler scheme for reflected stochastic differential equations
- Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in R^d
- Product expansion for stochastic jump diffusions and its application to numerical approximation
- scientific article; zbMATH DE number 942486 (Why is no real title available?)
- Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Simulation of a space-time bounded diffusion
- Inference for stochastic neuronal models
- Inference for stochastic neuronal models
- Numerical simulations and modeling for stochastic biological systems with jumps
- Semi-Lagrangian discontinuous Galerkin schemes for some first- and second-order partial differential equations
- Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
- A problem with discretizing Vale-Maurelli in simulation studies
- Approximation of some discrete-time stochastic processes by differential equations
- Pathwise convergence of numerical schemes for random and stochastic differential equations
- Discretization of the Wiener-process in difference-methods for stochastic differential equations
- The pathwise convergence of approximation schemes for stochastic differential equations
- Generative modeling of Lévy area for high order SDE simulation
- Approximate solutions for a class of stochastic evolution equations with variable delays
- On Simulating Wiener Integrals and Their Expectations
- Weak approximation of martingale representations
- Numeric and dynamic B-stability, exact-monotone and asymptotic two-point behavior of theta methods for stochastic differential equations
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
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- White noise and simulation of ordinary Gaussian processes
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
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