Zobrazeno 1 - 6
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pro vyhledávání: '"André Herzwurm"'
Publikováno v:
Computational Statistics & Data Analysis. 167:107375
As an example for the fast calculation of distributional parameters of Gaussian processes, a new Monte Carlo algorithm for the computation of quantiles of the supremum norm of weighted Brownian bridges is proposed. As it is known, the corresponding d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::074d4e3d0c2b53904c8bcceb44139016
https://doi.org/10.1016/j.csda.2021.107375
https://doi.org/10.1016/j.csda.2021.107375
Autor:
Mario Hefter, André Herzwurm
Publikováno v:
Journal of Mathematical Analysis and Applications. 459:1079-1101
We study strong (pathwise) approximation of Cox–Ingersoll–Ross processes. We propose a Milstein-type scheme that is suitably truncated close to zero, where the diffusion coefficient fails to be locally Lipschitz continuous. For this scheme we pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bde8353ee3b333fdeafa025d754acdc7
https://doi.org/10.1016/j.jmaa.2017.10.076
https://doi.org/10.1016/j.jmaa.2017.10.076
Autor:
Mario Hefter, André Herzwurm
Publikováno v:
Communications in Mathematical Sciences. 15:2121-2141
We consider the one-dimensional squared Bessel process given by the stochastic differential equation (SDE) \begin{align*} dX_t = 1\,dt + 2\sqrt{X_t}\,dW_t, \quad X_0=x_0, \quad t\in[0,1], \end{align*} and study strong (pathwise) approximation of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ece9dfe0e499b8f8fe29eb38dee4d71b
https://doi.org/10.4310/cms.2017.v15.n8.a2
https://doi.org/10.4310/cms.2017.v15.n8.a2
Publikováno v:
Ann. Appl. Probab. 29, no. 1 (2019), 178-216
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observations of the driving Brownian motion. We prove lower error bounds in ter
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::50bdda426774a850f3eee43954103ef0
https://projecteuclid.org/euclid.aoap/1544000428
https://projecteuclid.org/euclid.aoap/1544000428
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 429:242-251
We present a stochastic model for the energy loss of low-energy electrons (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12025c63eb39deff0502aae78a0bf514
https://doi.org/10.1016/j.physa.2015.02.031
https://doi.org/10.1016/j.physa.2015.02.031
We study the error in approximating the minimum of a Brownian motion on the unit interval based on finitely many point evaluations. We construct an algorithm that adaptively chooses the points at which to evaluate the Brownian path. In contrast to th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4edb740a490a8d1f82f25bc6c2e0ab86
http://arxiv.org/abs/1601.01276
http://arxiv.org/abs/1601.01276