First order strong approximations of scalar SDEs defined in a domain

2014/01/31 by Andreas Neuenkirch, Łukasz Szpruch, Lukasz Szpruch · 7 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact

paper · doi:10.1007/s00211-014-0606-4

Citations

• Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients

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