Pages that link to "Item:Q5429617"

The following pages link to Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence (Q5429617):

Displaying 19 items.

• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion (Q4923211) (← links)
• STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (Q4979887) (← links)
• Series Expansions and Direct Inversion for the Heston Model (Q4988549) (← links)
• Simulation of Non-Lipschitz Stochastic Differential Equations Driven by $\alpha$-Stable Noise: A Method Based on Deterministic Homogenization (Q4992254) (← links)
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process (Q4997063) (← links)
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation (Q5001562) (← links)
• A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (Q5411899) (← links)
• On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
• An adaptive splitting method for the Cox-Ingersoll-Ross process (Q6101788) (← links)
• The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients (Q6126083) (← links)
• The logarithmic truncated EM method with weaker conditions (Q6546892) (← links)
• Approximating inverse cumulative distribution functions to produce approximate random variables (Q6601383) (← links)
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient (Q6614416) (← links)
• Convergence of modified truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients (Q6617015) (← links)
• On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients (Q6627016) (← links)