Zobrazeno 1 - 10
of 43
pro vyhledávání: '"Kumar, Tejinder"'
Autor:
Kumar, Tejinder, Kumar, Chaman
The coefficients of the stochastic differential equations with Markovian switching (SDEwMS) additionally depend on a Markov chain and there is no notion of differentiating such functions with respect to the Markov chain. In particular, this implies t
Externí odkaz:
http://arxiv.org/abs/2211.11657
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
On Explicit Tamed Milstein-type scheme for Stochastic Differential Equation with Markovian Switching
Autor:
Kumar, Chaman, Kumar, Tejinder
We propose a new tamed Milstein-type scheme for stochastic differential equation with Markovian switching when drift coefficient is assumed to grow super-linearly. The strong rate of convergence is shown to be equal to $1.0$ under mild regularity (e.
Externí odkaz:
http://arxiv.org/abs/1909.07886
Autor:
Kumar, Chaman, Kumar, Tejinder
An explicit Milstein-type scheme for stochastic differential equation with Markovian switching is derived and its strong convergence in $\mathcal{L}^2$-sense is established without using It\^o-Taylor expansion formula. Rate of strong convergence is s
Externí odkaz:
http://arxiv.org/abs/1909.07882
Autor:
Kumar, Tejinder, Kumar, Chaman
We propose a new explicit numerical scheme for stochastic differential equation with super-linearly growing drift and linearly growing diffusion coefficients which are also twice continuously differentiable. The rate of strong convergence in $\mathca
Externí odkaz:
http://arxiv.org/abs/1805.07976
Autor:
Kumar, Chaman, Kumar, Tejinder
Publikováno v:
In Journal of Computational and Applied Mathematics 15 October 2021 395
On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching
Autor:
Kumar, Chaman, Kumar, Tejinder
Publikováno v:
In Journal of Computational and Applied Mathematics 15 October 2020 377
Publikováno v:
In Biosensors and Bioelectronics 15 August 2017 94:443-455
Publikováno v:
Sarajevo Journal of Mathematics; 2023, Vol. 19 Issue 2, p155-170, 16p