17 citations · 103 across the 21 of their papers we have counts for
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math.PR2015★ 4 cited
Weak convergence analysis of the symmetrized Euler scheme for one dimensional SDEs with diffusion coefficient |x|^a, a in [1/2,1)
Mireille Bossy, Awa Diop
In this paper, we are interested in the time discrete approximation of Ef(X(T)) when X is the solution of a stochastic differential equation with a diffusion coefficient function o…
math.PR2015★ 16 cited
Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
Mireille Bossy, Hector Olivero Quinteros
In this paper we study the rate of convergence of a symmetrized version of the Milstein scheme applied to the solution of the one dimensional SDE $$X_t = x_0 + \int_{0}^t{b(X_s)ds}…
math.PR2015★ 2 cited
Particle approximation for Lagrangian Stochastic Models with specular boundary condition
Mireille Bossy, Jean-Francois Jabir
In this paper, we prove a particle approximation, in the sense of the propagation of chaos, of a Lagrangian stochastic model submitted to specular boundary condition and satisfying…