Zobrazeno 1 - 10
of 122 277
pro vyhledávání: '"Milstein A"'
We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally H\"older continuous of order $\alpha$. We show that the scheme converges in the $L_2$-norm with a r
Externí odkaz:
http://arxiv.org/abs/2411.01849
In this paper, we propose two variants of the positivity-preserving schemes, namely the truncated Euler-Maruyama (EM) method and the truncated Milstein scheme, applied to stochastic differential equations (SDEs) with positive solutions and super-line
Externí odkaz:
http://arxiv.org/abs/2410.05614
Autor:
Iguchi, Yuga, Yamada, Toshihiro
We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and can be simulated using Gaussian variates, requiring the same number of
Externí odkaz:
http://arxiv.org/abs/2409.00524
The present article aims to design and analyze efficient first-order strong schemes for a generalized A\"{i}t-Sahalia type model arising in mathematical finance and evolving in a positive domain $(0, \infty)$, which possesses a diffusion term with su
Externí odkaz:
http://arxiv.org/abs/2403.16975
Akademický článek
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This paper focuses on the randomized Milstein scheme for approximating solutions to stochastic Volterra integral equations with weakly singular kernels, where the drift coefficients are non-differentiable. An essential component of the error analysis
Externí odkaz:
http://arxiv.org/abs/2312.03474
Autor:
Jinran Yao, Zhengwei Yin
Publikováno v:
AIMS Mathematics, Vol 9, Iss 2, Pp 2766-2780 (2024)
Stability analysis, which was investigated in this paper, is one of the main issues related to numerical analysis for stochastic dynamical systems (SDS) and has the same important significance as the convergence one. To this end, we introduced the co
Externí odkaz:
https://doaj.org/article/05ca3fcecb774d91b7fc67bdb764c78b
Akademický článek
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Autor:
Haji-Al, Abdul-Lateef, Stein, Andreas
We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for multi-dimens
Externí odkaz:
http://arxiv.org/abs/2307.14169
A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition and the t
Externí odkaz:
http://arxiv.org/abs/2308.13999