Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Ioannis S. Stamatiou"'
Publikováno v:
Research in Statistics, Vol 2, Iss 1 (2024)
Based on the definition of the γ-order generalized normal, the γ-order generalized standard normal is obtained, and applications are referred. We proceed on the definition of the γ-order generalized chi-square, [Formula: see text] and the probabil
Externí odkaz:
https://doaj.org/article/4c1d70364c77445e8f5d7b2875a11015
Publikováno v:
Discrete and Continuous Dynamical Systems - B. 28:648
We are interested in the numerical approximation of solutions of nonlinear stochastic differential equations, that appear in financial mathematics. Here, we study the Aït-Sahalia model. We propose an explicit numerical scheme where we actually appro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::16af9488b522655d54357e70f0d39782
https://doi.org/10.3934/dcdsb.2022092
https://doi.org/10.3934/dcdsb.2022092
Autor:
Ioannis S. Stamatiou
Publikováno v:
Nonlinear Analysis, Differential Equations, and Applications ISBN: 9783030725624
We study the numerical approximation of the solution of stochastic differential equations (SDEs) that do not follow the standard smoothness assumptions. In particular, we focus on SDEs that admit solutions which take values in a certain domain; examp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7a75a61ffe4f24dc7746c6bf9c4c4feb
https://doi.org/10.1007/978-3-030-72563-1_23
https://doi.org/10.1007/978-3-030-72563-1_23
Autor:
Ioannis S. Stamatiou
Publikováno v:
Mathematical Analysis in Interdisciplinary Research ISBN: 9783030847203
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6352bad4b4f16028222e45afda838a6
https://doi.org/10.1007/978-3-030-84721-0_34
https://doi.org/10.1007/978-3-030-84721-0_34
A note on the asymptotic stability of the Semi-Discrete method for Stochastic Differential Equations
We study the asymptotic stability of the semi-discrete (SD) numerical method for the approximation of stochastic differential equations. Recently, we examined the order of $\mathcal L^2$-convergence of the truncated SD method and showed that it can b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4fc4d17b366ec24354aa8cf14064942b
http://arxiv.org/abs/2008.03148
http://arxiv.org/abs/2008.03148
Autor:
Ioannis S. Stamatiou
Publikováno v:
Journal of Computational and Applied Mathematics. 328:132-150
We are interested in the numerical approximation of non-linear stochastic differential equations (SDEs) with solution in a certain domain. Our goal is to construct explicit numerical schemes that preserve that structure. We generalize the semi-discre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92ee0c903631461d0d86269058cffd35
https://doi.org/10.1016/j.cam.2017.07.011
https://doi.org/10.1016/j.cam.2017.07.011
Autor:
Ioannis S. Stamatiou
We consider mean-reverting CIR/CEV processes with delay and jumps used as models on the financial markets. These processes are solutions of stochastic differential equations with jumps, which have no explicit solutions. We prove the non-negativity pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9fab083f2c7b82b3297322e6bab1b263
Publikováno v:
Computational Methods in Applied Mathematics. 16:105-132
We are interested in the numerical solution of stochastic differential equations with non-negative solutions. Our goal is to construct explicit numerical schemes that preserve positivity, even for super-linear stochastic differential equations. It is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e73f56e253c8f10e668c05f466a9e50
https://doi.org/10.1515/cmam-2015-0028
https://doi.org/10.1515/cmam-2015-0028
Publikováno v:
Journal of Probability and Statistics, Vol 2015 (2015)
We are interested in the numerical solution of mean-reverting CEV processes that appear in financial mathematics models and are described as nonnegative solutions of certain stochastic differential equations with sublinear diffusion coefficients of t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a04382262149433c4e5e6d6c1d68379
https://doaj.org/article/4d1dad9edc244e26b9832260ba35951f
https://doaj.org/article/4d1dad9edc244e26b9832260ba35951f
Publikováno v:
Discrete & Continuous Dynamical Systems - Series B; Jan2023, Vol. 28 Issue 1, p648-664, 17p