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Journal of Mathematical Analysis and Applications, 2016, Volume 440, Issue 2, Pages 692–715
DOI: https://doi.org/10.1016/j.jmaa.2016.03.055 (Mi jmaa1) 		 
This article is cited in 9 scientific papers (total in 9 papers)

Numerical approximation of irregular SDEs via Skorokhod embeddings

Stefan Ankirchnera, Thomas Kruseb, Mikhail Urusovbc

a Institute for Mathematics, University of Jena, Ernst-Abbe-Platz 2, 07745 Jena, Germany
b Faculty of Mathematics, University of Duisburg-Essen, Thea-Leymann-Str. 9, 45127 Essen, Germany
c Steklov Mathematical Institute, Russian Academy of Sciences, ul. Gubkina 8, 119991 Moscow, Russia
Citations (9)
DOI: https://doi.org/10.1016/j.jmaa.2016.03.055
Funding agency Grant number
Russian Science Foundation 14-21-00162
Stefan Ankirchner and Thomas Kruse acknowledge the financial support from the French Banking Federation through the Chaire Markets in Transition. The work of Mikhail Urusov is supported by the Russian Science Foundation under grant 14-21-00162 in Steklov Mathematical Institute of Russian Academy of Sciences.
Received: 26.09.2015
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Document Type: Article
Language: English
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