Zobrazeno 1 - 10
of 624
pro vyhledávání: '"Lord, Gabriel"'
We examine the numerical approximation of a quasilinear stochastic differential equation (SDE) with multiplicative fractional Brownian motion. The stochastic integral is interpreted in the Wick-It\^o-Skorohod (WIS) sense that is well defined and cent
Externí odkaz:
http://arxiv.org/abs/2404.07013
We develop adaptive time-stepping strategies for It\^o-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear SDEs with d
Externí odkaz:
http://arxiv.org/abs/2312.06910
Autor:
Erdogan, Utku, Lord, Gabriel J.
We prove weak convergence of order one for a class of exponential based integrators for SDEs with non-globally Lipschtiz drift. Our analysis covers tamed versions of Geometric Brownian Motion (GBM) based methods as well as the standard exponential sc
Externí odkaz:
http://arxiv.org/abs/2304.09496
Autor:
Lord, Gabriel, Petersson, Andreas
Efficient simulation of stochastic partial differential equations (SPDE) on general domains requires noise discretization. This paper employs piecewise linear interpolation of noise in a fully discrete finite element approximation of a semilinear sto
Externí odkaz:
http://arxiv.org/abs/2210.11102
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E. Benth, I.C. Si
Externí odkaz:
http://arxiv.org/abs/2206.10166
Publikováno v:
In Mathematics and Computers in Simulation January 2025 227:461-476
Autor:
Kelly, Cónall, Lord, Gabriel J.
Publikováno v:
Applied Numerical Mathematics, Volume 186, 2023, Pages 252-273
We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross model. For this method, applied over both deterministic and adaptive random meshes, we prove a uniform moment bound and strong error results of order $1/4$ in $
Externí odkaz:
http://arxiv.org/abs/2112.09465
Autor:
Erdogan, Utku, Lord, Gabriel J.
We introduce a tamed exponential time integrator which exploits linear terms in both the drift and diffusion for Stochastic Differential Equations (SDEs) with a one sided globally Lipschitz drift term. Strong convergence of the proposed scheme is pro
Externí odkaz:
http://arxiv.org/abs/2106.11425
Autor:
Lord, Gabriel, Wang, Mengchao
Publikováno v:
In Applied Mathematics and Computation 15 April 2024 467