Pages that link to "Item:Q5429617"

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

Displaying 50 items.

• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process (Q350292) (← links)
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method (Q422512) (← links)
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (Q433906) (← links)
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model (Q495866) (← links)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
• Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (Q634110) (← links)
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (Q640057) (← links)
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (Q719368) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
• Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure (Q765113) (← links)
• Realised volatility and parametric estimation of Heston SDEs (Q784737) (← links)
• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications (Q819723) (← links)
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations (Q907562) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives (Q1664478) (← links)
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814) (← links)
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
• Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients (Q1726779) (← links)
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient (Q2059650) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
• Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball (Q2102112) (← links)
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth (Q2214250) (← links)
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion (Q2309581) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• A stochastic model for cell adhesion to the vascular wall (Q2330629) (← links)
• On non-polynomial lower error bounds for adaptive strong approximation of SDEs (Q2402415) (← links)
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients (Q2662920) (← links)
• Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy (Q2672736) (← links)
• Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
• On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients (Q2986694) (← links)
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (Q3104819) (← links)
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (Q3145420) (← links)
• Inequivalence of nonequilibrium path ensembles: the example of stochastic bridges (Q3302174) (← links)
• Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients (Q3405600) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• Backward simulation methods for pricing American options under the CIR process (Q4555172) (← links)
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
• A backward Monte Carlo approach to exotic option pricing (Q4575277) (← links)