Quasi-Sure Convergence Rate of Euler Scheme for Stochastic Differential Equations

Acta Mathematica Scientia ◽

10.1016/s0252-9602(13)60126-5 ◽

2014 ◽

Vol 34 (1) ◽

pp. 65-72 ◽

Author(s):

Wenliang HUANG ◽

Xicheng ZHANG

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

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Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions

Mathematics and Computers in Simulation ◽

10.1016/s0378-4754(97)00047-5 ◽

1997 ◽

Vol 44 (2) ◽

pp. 109-121

Author(s):

Vigirdas Mackevičius

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

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The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density

Monte Carlo Methods and Applications ◽

10.1515/mcma.1996.2.2.93 ◽

1996 ◽

Vol 2 (2) ◽

Author(s):

Vlad BALLY ◽

Denis TALAY

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

Euler Scheme ◽

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Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations

Theory of Probability and Its Applications ◽

10.1137/s0040585x97t989039 ◽

2018 ◽

Vol 63 (2) ◽

pp. 246-266

Author(s):

R. Mikulevičius ◽

Ch. Zhang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

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Euler scheme for reflected stochastic differential equations

Mathematics and Computers in Simulation ◽

10.1016/0378-4754(93)e0074-f ◽

1995 ◽

Vol 38 (1-3) ◽

pp. 119-126 ◽

Author(s):

D. Lépingle

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

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The Euler scheme for Lévy driven stochastic differential equations

10.1214/aop/1024404293 ◽

1997 ◽

Vol 25 (1) ◽

pp. 393-423 ◽

Author(s):

Philip Protter ◽

Denis Talay

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

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The law of the Euler scheme for stochastic differential equations

Probability Theory and Related Fields ◽

10.1007/bf01303802 ◽

1996 ◽

Vol 104 (1) ◽

pp. 43-60 ◽

Author(s):

V. Bally ◽

D. Talay

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Euler Scheme ◽

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Convergence rate of weak Local Linearization schemes for stochastic differential equations with additive noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.10.021 ◽

2015 ◽

Vol 279 ◽

pp. 106-122 ◽

Author(s):

J.C. Jimenez ◽

F. Carbonell

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Local Linearization

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The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus

Mathematics and Computers in Simulation ◽

10.1016/0378-4754(93)e0064-c ◽

1995 ◽

Vol 38 (1-3) ◽

pp. 35-41 ◽

Author(s):

Vlad Bally ◽

Denis Talay

Keyword(s):

Differential Equations ◽

Error Analysis ◽

Stochastic Differential Equations ◽

Malliavin Calculus ◽

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Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes

Stochastic Processes and their Applications ◽

10.1016/s0304-4149(03)00100-5 ◽

2003 ◽

Vol 108 (1) ◽

pp. 1-26 ◽

Author(s):

Sylvain Rubenthaler ◽

Magnus Wiktorsson

Keyword(s):

Differential Equations ◽

Convergence Rate ◽

Stochastic Differential Equations ◽

Lévy Processes ◽

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The Euler scheme for Lévy driven stochastic differential equations: limit theorems

The Annals of Probability ◽

10.1214/009117904000000667 ◽

2004 ◽

Vol 32 (3) ◽

pp. 1830-1872 ◽

Author(s):

Jean Jacod

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Limit Theorems ◽

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