443 citations · 2.4k across the 59 of their papers we have counts for
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math.NA2014★ 23 cited
Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries
Martin Hutzenthaler, Arnulf Jentzen, Marco Noll
Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes…
math.PR2014★ 81 cited
On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with non-globally monotone coefficients
Martin Hutzenthaler, Arnulf Jentzen
We develope a perturbation theory for stochastic differential equations (SDEs) by which we mean both stochastic ordinary differential equations (SODEs) and stochastic partial diffe…