Efficient discretisation of stochastic differential equations
Author:
Affiliation:
1. Graduate School of Engineering Science, and Center for Mathematical Modeling and Data Science, Osaka University, Toyonaka, Osaka, Japan
2. Mathematical Institute, University of Oxford, Oxford, UK
Funder
Japan Society for the Promotion of Science
European Research Council
Seventh Framework Programme
FP7 Ideas: European Research Council
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2019.1666131
Reference23 articles.
1. Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
2. Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions
3. First passage times and sojourn times for Brownian motion in space and the exact Hausdorff measure of the sample path
4. Pathwise stochastic calculus with local times
5. Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS)
Cited by 3 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
1. When to efficiently rebalance a portfolio;Quantitative Finance;2024-07-08
2. An Approximation to the Invariant Measure of the Limiting Diffusion of G/Ph/n + GI Queues in the Halfin–Whitt Regime and Related Asymptotics;Mathematics of Operations Research;2024-03-29
3. Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel;The Annals of Applied Probability;2023-12-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3