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Autor:
Al Gerbi, Anis
Cette thèse est consacrée à l'étude des propriétés de convergence forte du schéma de Ninomiya et Victoir. Les auteurs de ce schéma proposent d'approcher la solution d'une équation différentielle stochastique (EDS), notée $X$, en résolvant
Externí odkaz:
http://www.theses.fr/2016PESC1022/document
Publikováno v:
ESAIM: Proceedings and Surveys
ESAIM: Proceedings and Surveys, 2017, Thematic cycle on Monte-Carlo techniques, 59, pp.1-14
ESAIM: Proceedings and Surveys, EDP Sciences, 2017, Thematic cycle on Monte-Carlo techniques, 59, pp.1-14
ESAIM: Proceedings and Surveys, 2017, Thematic cycle on Monte-Carlo techniques, 59, pp.1-14
ESAIM: Proceedings and Surveys, EDP Sciences, 2017, Thematic cycle on Monte-Carlo techniques, 59, pp.1-14
International audience; In this paper, we summarize the results about the strong convergence rate ofthe Ninomiya-Victoir scheme and the stable convergence in law of its normalizederror that we obtained in previous papers. We then recall the propertie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d58f332ce8826c944d26b8ec7e992586
https://hal.science/hal-01421337
https://hal.science/hal-01421337
In a previous work, we proved strong convergence with order $1$ of the Ninomiya-Victoir scheme $X^{NV}$ with time step $T/N$ to the solution $X$ of the limiting SDE when the Brownian vector fields commute. In this paper, we prove that the normalized
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::321f838fea8956a807dc35a1492bea22
https://hal.archives-ouvertes.fr/hal-01390897
https://hal.archives-ouvertes.fr/hal-01390897
Autor:
Al Gerbi, Anis
Publikováno v:
General Mathematics [math.GM]. Université Paris-Est, 2016. English. ⟨NNT : 2016PESC1022⟩
This thesis is dedicated to the study of the strong convergence properties of the Ninomiya-Victoir scheme, which is based on the resolution of "d+1" ordinary differential equations (ODEs) at each time step, to approximate the solution to a stochastic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2592::e5ba5d555b34a61f8bef2d56a432fef8
https://pastel.archives-ouvertes.fr/tel-01526983
https://pastel.archives-ouvertes.fr/tel-01526983
Publikováno v:
Monte Carlo Methods & Applications; Sep2016, Vol. 22 Issue 3, p197-228, 32p, 2 Charts, 11 Graphs
