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:
Pierre Étoré , Miguel Martinez
ESAIM: PS, 18 (2014) 686-702
Published online: 2014-10-22
This article has been cited by the following article(s):
16 articles
Weak Approximation for a Black-Scholes Type Regime Switching Model
Arturo Kohatsu-Higa and Akihiro Tanaka Applied Mathematical Finance 31 (1) 1 (2024) https://doi.org/10.1080/1350486X.2024.2360464
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
Extreme at-the-money skew in a local volatility model
Paolo Pigato Finance and Stochastics 23 (4) 827 (2019) https://doi.org/10.1007/s00780-019-00406-2
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
Numerical solutions of Fokker-Planck equations with drift-admitting jumps
Yaming Chen and Xiaogang Deng Physical Review E 98 (3) (2018) https://doi.org/10.1103/PhysRevE.98.033302
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
On the weak approximation of a skew diffusion by an Euler-type scheme
Noufel Frikha Bernoulli 24 (3) (2018) https://doi.org/10.3150/16-BEJ909
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
A numerical method for SDEs with discontinuous drift
Gunther Leobacher and Michaela Szölgyenyi BIT Numerical Mathematics 56 (1) 151 (2016) https://doi.org/10.1007/s10543-015-0549-x