Citations (38)
Keep up to date with the latest research on this topic with citation updates for this article.
Read on this site (2)
Trung-Thuy Kieu, Duc-Trong Luong & Hoang-Long Ngo. (2022) Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients. Stochastic Analysis and Applications 40:4, pages 714-734.
Read now
Read now
Hua Zhang. (2018) Strong convergence rate for multivalued stochastic differential equations via stochastic theta method. Stochastics 90:5, pages 762-781.
Read now
Read now
Articles from other publishers (36)
Qidi Peng & Nan Rao. (2023) Fractional Brownian motion: Small increments and first exit time from one-sided barrier. Chaos, Solitons & Fractals 177, pages 114218.
Crossref
Crossref
Chao Zheng. (2023) Multilevel Monte Carlo simulation for the Heston stochastic volatility model. Advances in Computational Mathematics 49:6.
Crossref
Crossref
Jiequn Han, Ruimeng Hu & Jihao Long. (2023) A class of dimension-free metrics for the convergence of empirical measures. Stochastic Processes and their Applications 164, pages 242-287.
Crossref
Crossref
Daniel F. Pellatt & Yixiao Sun. (2023) Asymptotic F test in regressions with observations collected at high frequency over long span. Journal of Econometrics 235:2, pages 1281-1309.
Crossref
Crossref
Vadim Kaushansky, Christoph Reisinger, Mykhaylo Shkolnikov & Zhuo Qun Song. (2023) Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. The Annals of Applied Probability 33:1.
Crossref
Crossref
Congshan Zhang, Jia Li & Tim Bollerslev. (2022) Occupation density estimation for noisy high-frequency data. Journal of Econometrics 227:1, pages 189-211.
Crossref
Crossref
Julien Chevallier, Anna Melnykova & Irene Tubikanec. (2021) Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis. Advances in Applied Probability 53:3, pages 716-756.
Crossref
Crossref
Sixian Jin & Kei Kobayashi. (2021) Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators. BIT Numerical Mathematics 61:3, pages 829-857.
Crossref
Crossref
Mikołaj J. Kasprzak. (2020) Functional approximations via Stein’s method of exchangeable pairs. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 56:4.
Crossref
Crossref
Clayton L. Barnes. (2020) Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier. The Annals of Applied Probability 30:4.
Crossref
Crossref
Mikołaj J. Kasprzak. (2020) Stein’s method for multivariate Brownian approximations of sums under dependence. Stochastic Processes and their Applications 130:8, pages 4927-4967.
Crossref
Crossref
Dorival Leão, Alberto Ohashi & Francesco Russo. (2019) Discrete-type approximations for non-Markovian optimal stopping problems: Part I. Journal of Applied Probability 56:4, pages 981-1005.
Crossref
Crossref
Jean-François Chassagneux & Adrien Richou. (2019) Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. Stochastic Processes and their Applications 129:11, pages 4597-4637.
Crossref
Crossref
Yotam Alexander & Ronen Eldan. (2019) Cone points of Brownian motion in arbitrary dimension. The Annals of Probability 47:5.
Crossref
Crossref
Duc-Trong Luong & Hoang-Long Ngo. (2019) Semi-implicit Milstein approximation scheme for non-colliding particle systems. Calcolo 56:3.
Crossref
Crossref
Sixian Jin & Kei Kobayashi. (2019) Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients. Journal of Mathematical Analysis and Applications 476:2, pages 619-636.
Crossref
Crossref
Jakub Chorowski. (2018) Nonparametric volatility estimation in scalar diffusions: Optimality across observation frequencies. Bernoulli 24:4A.
Crossref
Crossref
Andrei Cozma & Christoph Reisinger. (2018) Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models. SIAM Journal on Numerical Analysis 56:6, pages 3430-3458.
Crossref
Crossref
Andrei Cozma, Matthieu Mariapragassam & Christoph Reisinger. (2018) Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets. SIAM Journal on Financial Mathematics 9:1, pages 127-170.
Crossref
Crossref
Markus Fischer. (2017) On the connection between symmetric $N$-player games and mean field games. The Annals of Applied Probability 27:2.
Crossref
Crossref
Maria Elvira Mancino, Maria Cristina Recchioni & Simona SanfeliciMaria Elvira Mancino, Maria Cristina Recchioni & Simona Sanfelici. 2017. Fourier-Malliavin Volatility Estimation. Fourier-Malliavin Volatility Estimation
31
47
.
Valentin Konakov & Vladimir Panov. (2016) Sup-norm convergence rates for L?vy density estimation. Extremes 19:3, pages 371-403.
Crossref
Crossref
Tony Shardlow & Phillip Taylor. (2015) On the pathwise approximation of stochastic differential equations. BIT Numerical Mathematics 56:3, pages 1101-1129.
Crossref
Crossref
Pierre Henry-Labordère, Christian Litterer & Zhenjie Ren. (2016) A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. SIAM Journal on Financial Mathematics 7:1, pages 159-182.
Crossref
Crossref
Idris Kharroubi. (2016) Optimal Switching in Finite Horizon under State Constraints. SIAM Journal on Control and Optimization 54:4, pages 2202-2233.
Crossref
Crossref
Markus Fischer. (2014) On the form of the large deviation rate function for the empirical measures of weakly interacting systems. Bernoulli 20:4.
Crossref
Crossref
Valentin Konakov, Enno Mammen & Jeannette Woerner. (2014) Statistical convergence of Markov experiments to diffusion limits. Bernoulli 20:2.
Crossref
Crossref
Leszek Slominski. (2014) On Wong-Zakai type approximations of reflected diffusions. Electronic Journal of Probability 19:none.
Crossref
Crossref
René Aïd, Luciano Campi, Nicolas Langrené & Huyên Pham. (2014) A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. SIAM Journal on Financial Mathematics 5:1, pages 191-231.
Crossref
Crossref
José E. Figueroa-López & Jeffrey Nisen. (2013) Optimally thresholded realized power variations for Lévy jump diffusion models. Stochastic Processes and their Applications 123:7, pages 2648-2677.
Crossref
Crossref
Leszek Słomiński. (2013) Weak and strong approximations of reflected diffusions via penalization methods. Stochastic Processes and their Applications 123:3, pages 752-763.
Crossref
Crossref
Paul Gassiat, Idris Kharroubi & Huyên Pham. (2012) Time discretization and quantization methods for optimal multiple switching problem. Stochastic Processes and their Applications 122:5, pages 2019-2052.
Crossref
Crossref
Steffen Dereich, Andreas Neuenkirch & Lukasz Szpruch. (2011) An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 468:2140, pages 1105-1115.
Crossref
Crossref
Marie Bernhart, Peter Tankov & Xavier Warin. (2011) A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM Journal on Financial Mathematics 2:1, pages 989-1013.
Crossref
Crossref
Chao Zheng. (2016) Multi-Level Monte Carlo Simulation for the Heston Stochastic Volatility Model. SSRN Electronic Journal.
Crossref
Crossref
Pierre Henry-Labordere, Christian Litterer & Zhenjie Ren. (2015) A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. SSRN Electronic Journal.
Crossref
Crossref