4 citations · 6 across the 2 of their papers we have counts for
2 papers
math.PR2009★ 4 cited
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
Antonis Papapantoleon, Maria Siopacha
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by Lévy processes or general semimartingales. The main ingredien…
q-fin.CP2007★ 2 cited
Weak and Strong Taylor methods for numerical solutions of stochastic differential equations
Maria Siopacha, Josef Teichmann
We apply results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we work ou…