$\varepsilon$-Strong simulation for multidimensional stochastic differential equations via rough path analysis
Work
Year: 2017
Type: article
Abstract: Consider a multidimensional diffusion process $X=\{X(t):t\in [0,1]\}$. Let $\varepsilon>0$ be a deterministic, user defined, tolerance error parameter. Under standard regularity conditions on the drif... more
Authors José Blanchet, Xinyun Chen, Jing Dong
Institutions Wuhan University, Columbia University, Northwestern University
Cites: 13
Cited by: 18
Related to: 10
FWCI: 3.383
Citation percentile (by year/subfield): 90.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green