Author:
Dörsek Philipp,Teichmann Josef,Velušček Dejan
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference36 articles.
1. Alfonsi, A.: High order discretization schemes for the CIR process: Application to affine term structure and Heston models. Math. Comp. 79(269), 209–237 (2010)
2. Bayer, C., Teichmann, J.: Cubature on Wiener space in infinite dimension. Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 464(2097), 2493–2516 (2008)
3. Blanes, S., Casas, F.: On the necessity of negative coefficients for operator splitting schemes of order higher than two. Appl. Numer. Math. 54(1), 23–37 (2005)
4. Crisan, D., Ghazali, S.: On the Convergence Rates of a General Class of Weak Approximations of SDEs, Stochastic Differential Equations: Theory and Applications, vol. 2. Interdiscip. Math. Sci. World Sci. Publ., Hackensack (2007)
5. Crisan, D., Lyons, T.: Minimal entropy approximations and optimal algorithms. Monte Carlo Methods Appl. 8(4), 343–355 (2002)
Cited by
6 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献