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:
Abdel Berkaoui , Mireille Bossy , Awa Diop
ESAIM: PS, 12 (2008) 1-11
Published online: 2007-11-13
This article has been cited by the following article(s):
85 articles
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
Annalena Mickel and Andreas Neuenkirch Journal of Mathematical Analysis and Applications 542 (1) 128788 (2025) https://doi.org/10.1016/j.jmaa.2024.128788
Convergence of a exponential tamed method for a general interest rate model
Gabriel Lord and Mengchao Wang Applied Mathematics and Computation 467 128503 (2024) https://doi.org/10.1016/j.amc.2023.128503
The logarithmic truncated EM method with weaker conditions
Yiyi Tang and Xuerong Mao Applied Numerical Mathematics 198 258 (2024) https://doi.org/10.1016/j.apnum.2024.01.009
The modified truncated Euler–Maruyama method for stochastic differential equations with concave diffusion coefficients
Yiyi Tang and Xuerong Mao Journal of Computational and Applied Mathematics 440 115660 (2024) https://doi.org/10.1016/j.cam.2023.115660
On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
Thomas Müller-Gronbach and Larisa Yaroslavtseva Journal of Complexity 85 101870 (2024) https://doi.org/10.1016/j.jco.2024.101870
Semi-implicit Euler–Maruyama scheme for polynomial diffusions on the unit ball
Takuya Nakagawa, Dai Taguchi and Tomooki Yuasa Journal of Mathematical Analysis and Applications 519 (2) 126829 (2023) https://doi.org/10.1016/j.jmaa.2022.126829
On the Discrete-Time Simulation of the Rough Heston Model
Alexandre Richard, Xiaolu Tan and Fan Yang SIAM Journal on Financial Mathematics 14 (1) 223 (2023) https://doi.org/10.1137/21M1443807
Approximating Inverse Cumulative Distribution Functions to Produce Approximate Random Variables
Michael Giles and Oliver Sheridan-Methven ACM Transactions on Mathematical Software 49 (3) 1 (2023) https://doi.org/10.1145/3604935
Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
Ziyi Lei, Siqing Gan and Ziheng Chen Journal of Computational and Applied Mathematics 419 114758 (2023) https://doi.org/10.1016/j.cam.2022.114758
The weak convergence order of two Euler-type discretization schemes for the log-Heston model
Annalena Mickel and Andreas Neuenkirch IMA Journal of Numerical Analysis 43 (6) 3326 (2023) https://doi.org/10.1093/imanum/drac069
An adaptive splitting method for the Cox-Ingersoll-Ross process
Cónall Kelly and Gabriel J. Lord Applied Numerical Mathematics 186 252 (2023) https://doi.org/10.1016/j.apnum.2023.01.014
Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy
Mireille Bossy, Jean-François Jabir and Kerlyns Martínez Rodríguez Journal of Computational Physics 464 110929 (2022) https://doi.org/10.1016/j.jcp.2021.110929
Convergence and stability of modified partially truncated Euler–Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
Hongfu Yang and Jianhua Huang Journal of Computational and Applied Mathematics 404 113895 (2022) https://doi.org/10.1016/j.cam.2021.113895
The truncated Euler–Maruyama method for CIR model driven by fractional Brownian motion
Xiangyu Gao, Jianqiao Wang, Yanxia Wang and Hongfu Yang Statistics & Probability Letters 189 109573 (2022) https://doi.org/10.1016/j.spl.2022.109573
The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
Cónall Kelly, Gabriel Lord and Heru Maulana Journal of Computational and Applied Mathematics 114208 (2022) https://doi.org/10.1016/j.cam.2022.114208
Jacobi stochastic volatility factor for the LIBOR market model
Pierre-Edouard Arrouy, Alexandre Boumezoued, Bernard Lapeyre and Sophian Mehalla Finance and Stochastics 26 (4) 771 (2022) https://doi.org/10.1007/s00780-022-00488-5
Simulation of Non-Lipschitz Stochastic Differential Equations Driven by $\alpha$-Stable Noise: A Method Based on Deterministic Homogenization
Georg A. Gottwald and Ian Melbourne Multiscale Modeling & Simulation 19 (2) 665 (2021) https://doi.org/10.1137/20M1333183
The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes
Raphael Naryongo, Philip Ngare, Anthony Waititu and Remi Léandre International Journal of Mathematics and Mathematical Sciences 2021 1 (2021) https://doi.org/10.1155/2021/4050722
Series Expansions and Direct Inversion for the Heston Model
Simon J. A. Malham, Jiaqi Shen and Anke Wiese SIAM Journal on Financial Mathematics 12 (1) 487 (2021) https://doi.org/10.1137/19M126791X
Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
Shao-Qin Zhang and Chenggui Yuan Proceedings of the Royal Society of Edinburgh: Section A Mathematics 151 (4) 1278 (2021) https://doi.org/10.1017/prm.2020.60
Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
Yulian Yi, Yaozhong Hu and Jingjun Zhao Communications in Nonlinear Science and Numerical Simulation 101 105895 (2021) https://doi.org/10.1016/j.cnsns.2021.105895
Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations
Mohamed Ben Alaya, Ahmed Kebaier and Ngoc Khue Tran Scandinavian Journal of Statistics 47 (4) 1401 (2020) https://doi.org/10.1111/sjos.12494
Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion
Jialin Hong, Chuying Huang, Minoo Kamrani and Xu Wang Stochastic Processes and their Applications 130 (5) 2675 (2020) https://doi.org/10.1016/j.spa.2019.07.014
Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
Mohamed Bourza and Mohsine Benabdallah Stochastic Models 36 (3) 452 (2020) https://doi.org/10.1080/15326349.2020.1748506
Realised volatility and parametric estimation of Heston SDEs
Robert Azencott, Peng Ren and Ilya Timofeyev Finance and Stochastics 24 (3) 723 (2020) https://doi.org/10.1007/s00780-020-00427-2
Key Technique of Almost Exact Simulation for Non-affine Heston Model
Xingyin Liang, Youfa Sun and Yuhang Yao Journal of Physics: Conference Series 1624 (2) 022016 (2020) https://doi.org/10.1088/1742-6596/1624/2/022016
Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process
Andrei Cozma and Christoph Reisinger IMA Journal of Numerical Analysis 40 (1) 358 (2020) https://doi.org/10.1093/imanum/dry067
Least-Squares Estimation for the Subcritical Heston Model Based on Continuous-Time Observations
Mátyás Barczy, Balázs Nyul and Gyula Pap Journal of Statistical Theory and Practice 13 (1) (2019) https://doi.org/10.1007/s42519-018-0007-6
Tamed Euler–Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
Hoang Long Ngo and Duc Trong Luong Statistics & Probability Letters 145 133 (2019) https://doi.org/10.1016/j.spl.2018.09.006
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier and Gyula Pap Journal of Statistical Planning and Inference 198 139 (2019) https://doi.org/10.1016/j.jspi.2018.02.002
On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
Libo Li and Dai Taguchi BIT Numerical Mathematics 59 (3) 747 (2019) https://doi.org/10.1007/s10543-019-00753-8
A stochastic model for cell adhesion to the vascular wall
Christèle Etchegaray and Nicolas Meunier Journal of Mathematical Biology 79 (5) 1665 (2019) https://doi.org/10.1007/s00285-019-01407-7
On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
Mario Hefter and Arnulf Jentzen Finance and Stochastics 23 (1) 139 (2019) https://doi.org/10.1007/s00780-018-0375-5
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
Thomas Müller-Gronbach and Larisa Yaroslavtseva Journal of Mathematical Analysis and Applications 467 (2) 1013 (2018) https://doi.org/10.1016/j.jmaa.2018.07.041
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
Andrei Cozma, Matthieu Mariapragassam and Christoph Reisinger SIAM Journal on Financial Mathematics 9 (1) 127 (2018) https://doi.org/10.1137/17M1114569
Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
Mireille Bossy and Héctor Olivero Bernoulli 24 (3) (2018) https://doi.org/10.3150/16-BEJ918
Non-Negativity Preserving Numerical Algorithms for Problems in Mathematical Finance
Yuan Yuan Applied Mathematics 09 (03) 313 (2018) https://doi.org/10.4236/am.2018.93024
A backward Monte Carlo approach to exotic option pricing
G. BORMETTI, G. CALLEGARO, G. LIVIERI and A. PALLAVICINI European Journal of Applied Mathematics 29 (1) 146 (2018) https://doi.org/10.1017/S0956792517000079
Strong convergence rates for Cox–Ingersoll–Ross processes — Full parameter range
Mario Hefter and André Herzwurm Journal of Mathematical Analysis and Applications 459 (2) 1079 (2018) https://doi.org/10.1016/j.jmaa.2017.10.076
Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models
Andrei Cozma and Christoph Reisinger SIAM Journal on Numerical Analysis 56 (6) 3430 (2018) https://doi.org/10.1137/17M1136754
A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
Xu Yang and Xiaojie Wang Numerical Algorithms 74 (1) 39 (2017) https://doi.org/10.1007/s11075-016-0137-4
Backward simulation methods for pricing American options under the CIR process
Wenbin Hu and Junzi Zhou Quantitative Finance 17 (11) 1683 (2017) https://doi.org/10.1080/14697688.2017.1307513
Fair valuation of mortgage insurance under stochastic default and interest rates
Yang-Che Wu, Yi-Ting Huang, Shih-Kuei Lin and Ming-Che Chuang The North American Journal of Economics and Finance 42 433 (2017) https://doi.org/10.1016/j.najef.2017.08.003
Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
Hoang-Long Ngo and Duc-Trong Luong Brazilian Journal of Probability and Statistics 31 (1) (2017) https://doi.org/10.1214/15-BJPS301
On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
Larisa Yaroslavtseva and Thomas Müller-Gronbach Stochastic Analysis and Applications 35 (3) 423 (2017) https://doi.org/10.1080/07362994.2016.1263157
On non-polynomial lower error bounds for adaptive strong approximation of SDEs
Larisa Yaroslavtseva Journal of Complexity 42 1 (2017) https://doi.org/10.1016/j.jco.2017.04.002
Exponential integrability properties of Euler discretization schemes for the Cox--Ingersoll--Ross process
Andrei Cozma and Christoph Reisinger Discrete and Continuous Dynamical Systems - Series B 21 (10) 3359 (2016) https://doi.org/10.3934/dcdsb.2016101
Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
Mohsine Benabdallah, Youssfi Elkettani and Kamal Hiderah Monte Carlo Methods and Applications 22 (4) 307 (2016) https://doi.org/10.1515/mcma-2016-0115
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
Jean-François Chassagneux, Antoine Jacquier and Ivo Mihaylov SIAM Journal on Financial Mathematics 7 (1) 993 (2016) https://doi.org/10.1137/15M1017788
FPGA Based Accelerators for Financial Applications
Steffen Omland, Mario Hefter, Klaus Ritter, et al. FPGA Based Accelerators for Financial Applications 191 (2015) https://doi.org/10.1007/978-3-319-15407-7_9
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Aurélien Alfonsi Bocconi & Springer Series, Affine Diffusions and Related Processes: Simulation, Theory and Applications 6 67 (2015) https://doi.org/10.1007/978-3-319-05221-2_3
Inequivalence of nonequilibrium path ensembles: the example of stochastic bridges
J Szavits-Nossan and M R Evans Journal of Statistical Mechanics: Theory and Experiment 2015 (12) P12008 (2015) https://doi.org/10.1088/1742-5468/2015/12/P12008
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
Martin Altmayer and Andreas Neuenkirch SIAM Journal on Financial Mathematics 6 (1) 22 (2015) https://doi.org/10.1137/130933629
An explicit and positivity preserving numerical scheme for the mean reverting CEV model
Nikolaos Halidias Japan Journal of Industrial and Applied Mathematics 32 (2) 545 (2015) https://doi.org/10.1007/s13160-015-0183-7
STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD
HIDEYUKI TANAKA and TOSHIHIRO YAMADA International Journal of Theoretical and Applied Finance 17 (02) 1450014 (2014) https://doi.org/10.1142/S0219024914500149
Predictive Systems Under Economic Constraints
Maxime Bonelli and Daniel Mantilla-Garcia SSRN Electronic Journal (2014) https://doi.org/10.2139/ssrn.2441323
First order strong approximations of scalar SDEs defined in a domain
Andreas Neuenkirch and Lukasz Szpruch Numerische Mathematik 128 (1) 103 (2014) https://doi.org/10.1007/s00211-014-0606-4
Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
Nan Chen and Zhengyu Huang Mathematics of Operations Research 38 (3) 591 (2013) https://doi.org/10.1287/moor.2013.0585
Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process
Aurélien Alfonsi Statistics & Probability Letters 83 (2) 602 (2013) https://doi.org/10.1016/j.spl.2012.10.034
CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL
SIMON J. A. MALHAM and ANKE WIESE International Journal of Theoretical and Applied Finance 16 (03) 1350014 (2013) https://doi.org/10.1142/S0219024913500143
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
S. T. Tse and Justin W. L. Wan Quantitative Finance 13 (6) 919 (2013) https://doi.org/10.1080/14697688.2012.696678
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
Xuerong Mao and Lukasz Szpruch Stochastics 85 (1) 144 (2013) https://doi.org/10.1080/17442508.2011.651213
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
Xuerong Mao and Lukasz Szpruch Journal of Computational and Applied Mathematics 238 14 (2013) https://doi.org/10.1016/j.cam.2012.08.015
Strong convergence of the stopped Euler–Maruyama method for nonlinear stochastic differential equations
Wei Liu and Xuerong Mao Applied Mathematics and Computation 223 389 (2013) https://doi.org/10.1016/j.amc.2013.08.023
Ergodic approximation of the distribution of a stationary diffusion: Rate of convergence
Gilles Pagès and Fabien Panloup The Annals of Applied Probability 22 (3) (2012) https://doi.org/10.1214/11-AAP779
An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
Steffen Dereich, Andreas Neuenkirch and Lukasz Szpruch Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 468 (2140) 1105 (2012) https://doi.org/10.1098/rspa.2011.0505
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
Mohamed Ben Alaya and Ahmed Kebaier Stochastic Models 28 (4) 609 (2012) https://doi.org/10.1080/15326349.2012.726042
A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
C. E. Dangerfield, D. Kay, S. MacNamara and K. Burrage BIT Numerical Mathematics 52 (2) 283 (2012) https://doi.org/10.1007/s10543-011-0351-3
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
Stefano De Marco The Annals of Applied Probability 21 (4) (2011) https://doi.org/10.1214/10-AAP717
Physically consistent simulation of mesoscale chemical kinetics: The non-negative FIS-α method
Saswati Dana and Soumyendu Raha Journal of Computational Physics 230 (24) 8813 (2011) https://doi.org/10.1016/j.jcp.2011.07.032
A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
István Gyöngy and Miklós Rásonyi Stochastic Processes and their Applications 121 (10) 2189 (2011) https://doi.org/10.1016/j.spa.2011.06.008
High Order Discretization Schemes for Stochastic Volatility Models
Mohamed Sbai and Benjamin Jourdain SSRN Electronic Journal (2011) https://doi.org/10.2139/ssrn.1452727
Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
Martin Hutzenthaler, Arnulf Jentzen and Peter E. Kloeden Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 467 (2130) 1563 (2011) https://doi.org/10.1098/rspa.2010.0348
Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure
V. P. Zubchenko and Yu. S. Mishura Ukrainian Mathematical Journal 63 (1) 49 (2011) https://doi.org/10.1007/s11253-011-0487-y
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
Lukasz Szpruch, Xuerong Mao, Desmond J. Higham and Jiazhu Pan BIT Numerical Mathematics 51 (2) 405 (2011) https://doi.org/10.1007/s10543-010-0288-y
The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
Yuliya S. Mishura and Svitlana V. Posashkova Random Operators and Stochastic Equations 19 (1) (2011) https://doi.org/10.1515/ROSE.2011.003
Gamma expansion of the Heston stochastic volatility model
Paul Glasserman and Kyoung-Kuk Kim Finance and Stochastics 15 (2) 267 (2011) https://doi.org/10.1007/s00780-009-0115-y
A comparison of biased simulation schemes for stochastic volatility models
Roger Lord, Remmert Koekkoek and Dick Van Dijk Quantitative Finance 10 (2) 177 (2010) https://doi.org/10.1080/14697680802392496
Low-Bias Simulation Scheme for the Heston Model by Inverse Gaussian Approximation
Shu Tong Tse and Justin W. L. Wan SSRN Electronic Journal (2010) https://doi.org/10.2139/ssrn.1644977
A Simple Discretization Scheme for Nonnegative Diffusion Processes, with Applications to Option Pricing
Chantal Labbé, Bruno Remillard and Jean-Francois Renaud SSRN Electronic Journal (2010) https://doi.org/10.2139/ssrn.1619989
Efficient Simulation of the Double Heston Model
Pierre Gauthier and Dylan Possamai SSRN Electronic Journal (2010) https://doi.org/10.2139/ssrn.1434853
Exact Scenario Simulation for Selected Multi-Dimensional Stochastic Processes
Eckhard Platen and Renatak Rendek SSRN Electronic Journal (2009) https://doi.org/10.2139/ssrn.2172581
Approximation of the distribution of a stationary Markov process with application to option pricing
Gilles Pagès and Fabien Panloup Bernoulli 15 (1) (2009) https://doi.org/10.3150/08-BEJ142
Gamma Expansion of the Heston Stochastic Volatility Model
Paul Glasserman and Kyoung-Kuk Kim SSRN Electronic Journal (2008) https://doi.org/10.2139/ssrn.1279850
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Roger Lord, Remmert Koekkoek and Dick J. C. van Dijk SSRN Electronic Journal (2008) https://doi.org/10.2139/ssrn.903116