EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues ESAIM: PS, 18 (2014) 686-702 Article references

Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

Convergence rate of the Euler–Maruyama scheme applied to diffusion processes with Lq−Lρ drift coefficient and additive noise

Benjamin Jourdain and Stéphane Menozzi
The Annals of Applied Probability 34 (1B) (2024)
https://doi.org/10.1214/23-AAP2006

Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise

Oumaima Bencheikh and Benjamin Jourdain
SIAM Journal on Numerical Analysis 60 (4) 1701 (2022)
https://doi.org/10.1137/20M1371774

A transformed stochastic Euler scheme for multidimensional transmission PDE

Pierre Étoré and Miguel Martinez
Journal of Computational and Applied Mathematics 394 113551 (2021)
https://doi.org/10.1016/j.cam.2021.113551

An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis

Andreas Neuenkirch, Michaela Szölgyenyi and Lukasz Szpruch
SIAM Journal on Numerical Analysis 57 (1) 378 (2019)
https://doi.org/10.1137/18M1170017

Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

Gunther Leobacher and Michaela Szölgyenyi
Numerische Mathematik 138 (1) 219 (2018)
https://doi.org/10.1007/s00211-017-0903-9

Approximation for non-smooth functionals of stochastic differential equations with irregular drift

Hoang-Long Ngo and Dai Taguchi
Journal of Mathematical Analysis and Applications 457 (1) 361 (2018)
https://doi.org/10.1016/j.jmaa.2017.08.006

Exact Simulation of Brownian Diffusions with Drift Admitting Jumps

David Dereudre, Sara Mazzonetto and Sylvie Roelly
SIAM Journal on Scientific Computing 39 (3) A711 (2017)
https://doi.org/10.1137/16M107699X

A strong order $1/2$ method for multidimensional SDEs with discontinuous drift

Gunther Leobacher and Michaela Szölgyenyi
The Annals of Applied Probability 27 (4) (2017)
https://doi.org/10.1214/16-AAP1262

Weak rate of convergence of the Euler–Maruyama scheme for stochastic differential equations with non-regular drift

Arturo Kohatsu-Higa, Antoine Lejay and Kazuhiro Yasuda
Journal of Computational and Applied Mathematics 326 138 (2017)
https://doi.org/10.1016/j.cam.2017.05.015

Modern Problems of Stochastic Analysis and Statistics

Aurélien Alfonsi, Masafumi Hayashi and Arturo Kohatsu-Higa
Springer Proceedings in Mathematics & Statistics, Modern Problems of Stochastic Analysis and Statistics 208 43 (2017)
https://doi.org/10.1007/978-3-319-65313-6_3

Exact sampling of diffusions with a discontinuity in the drift

Omiros Papaspiliopoulos, Gareth O. Roberts and Kasia B. Taylor
Advances in Applied Probability 48 (A) 249 (2016)
https://doi.org/10.1017/apr.2016.54