Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients, Stochastic Processes and their Applications, vol.76, issue.1, pp.33-44, 1998. ,
DOI : 10.1016/S0304-4149(98)00020-9
Brownian Motion and Stochastic Calculus, 1998. ,
DOI : 10.1007/978-1-4612-0949-2
Numerical Solution of Stochastic Differential Equations, 1999. ,
Approximation methods for stochastic differential equations with non-regular drift (2012) In preparation ,
An Inequality in the Theory of Stochastic Integrals, Theory of Probability & Its Applications, vol.16, issue.3, pp.438-448, 1971. ,
DOI : 10.1137/1116048
Ural'ceva, Linear and Quasilinear Equations of Parabolic Type, 1967. ,
On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion, Proceedings of the Eighth Vilnius Conference on Probability Theory and Mathematical Statistics, pp.301-310, 2002. ,
Rate of Convergence of the Euler Approximation for Diffusion Processes, Mathematische Nachrichten, vol.20, issue.1, pp.233-239, 1991. ,
DOI : 10.1002/mana.19911510114
Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients, International Journal of Computer Mathematics, vol.91, issue.7, 2010. ,
DOI : 10.1214/aop/1029867124
ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS, Mathematics of the USSR-Sbornik, vol.39, issue.3, pp.387-403, 1981. ,
DOI : 10.1070/SM1981v039n03ABEH001522
The Euler scheme with irregular coefficients, The Annals of Probability, vol.30, issue.3, pp.1172-1194, 2002. ,
DOI : 10.1214/aop/1029867124