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Statistiques des Diffusions Ergodiques avec Applications en Finance. Finance , 12 2 , The algebra of iterated stochastic integrals.


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Stochastic Differential Equations and Diffusion Processes. North Holland, Brownian Motion and Stochastic Calculus. Numerical Solution of Stochastic Differential Equations. Wong-Zakai corrections, random evolutions and numerical schemes for S. Press, Approximations and optimal control for the pathwise average cost per unit time and discounted problems for wideband noise driven systems. Numerical approaches to reflected diffusion processes. Submitted for publication, Stochastic Calculus and Stochastic Models. Approximate integration of stochastic differential equations. Theory of Probability and Applications , —, Weak approximation of solutions of systems of stochastic differential equations.

The solving of the boundary value problem for parabolic equation by the numerical integration of stochastic equations. To appear in Theory of Probability and Applications. An asymptotically efficient difference formula for solving stochastic differential equations. Stochastics , —, An efficient approximation for stochastic differential equations on the partition of symmetrical first passage times. Asymptotically efficient Runge-Kutta methods for a class of Ito and Stratonovich equations. Variance reduction for simulated diffusions. Stability of linear differential systems with parametric excitation.

On a Taylor formula for a class of Ito processes. Probability and Mathematical Statistics , —51, Numerical treatment of stochastic differential equations. Bifurcation scenarios of the noisy Duffing-van der Pol oscillator.

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On approximation of solutions of multidimensional s. Stochastic Processes and their Applications , 50 2 —, On the gap between deterministic and stochastic differential equations. Efficient numerical schemes for the approximation of expectations of functionals of S. Szpirglas H. Korezlioglu, G.

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Stochastic Analysis and Applications , 8 4 —, MonteCarlo evaluation of functionals of stochastic differential equations-variance reduction and numerical examples. Stochastic Analysis and Applications , —, Springer, Discretization of a random system near a hyperbolic point. The law of the Euler scheme for stochastic differential equations I : convergence rate of the distribution function. Probability Theory and Related Fields , to appear.


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    Simulation of diffusions with boundary conditions. Approximation of Lyapunov exponents of nonlinear stochastic differential systems. SIAM J. Applied Math.

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    Stochastic Differential Equations and Diffusion Processes. North Holland, Brownian Motion and Stochastic Calculus. Numerical Solution of Stochastic Differential Equations. Wong-Zakai corrections, random evolutions and numerical schemes for S. Press, Approximations and optimal control for the pathwise average cost per unit time and discounted problems for wideband noise driven systems.

    Numerical approaches to reflected diffusion processes. Submitted for publication, Stochastic Calculus and Stochastic Models.

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    Approximate integration of stochastic differential equations. Theory of Probability and Applications , —, Weak approximation of solutions of systems of stochastic differential equations. The solving of the boundary value problem for parabolic equation by the numerical integration of stochastic equations. To appear in Theory of Probability and Applications. An asymptotically efficient difference formula for solving stochastic differential equations.

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