Výsledky vyhledávání - "Ngo Hoang Long"

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Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise

Autor: Do, Minh-Thang, Ngo, Hoang-Long, Taguchi, Dai

We study the strong existence and uniqueness of solutions within a Weyl chamber for a class of time-dependent particle systems driven by multiplicative noise. This class includes well-known processes in physics and mathematical finance. We propose a

Externí odkaz: http://arxiv.org/abs/2410.10457

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Numerical schemes for radial Dunkl processes

Autor: Ngo, Hoang-Long, Taguchi, Dai

We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}^{d}$. This class contains some well-known processes such as Bessel processes, Dyson's Brownian motions, and

Externí odkaz: http://arxiv.org/abs/2404.05113

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On the infinite time horizon approximation for L\'evy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients

Autor: Tran, Ngoc Khue, Kieu, Trung-Thuy, Luong, Duc-Trong, Ngo, Hoang-Long

This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by L\'evy processes. We propose a tamed-adaptive Euler-Maruyama scheme and consider its strong convergence in both finite and infinite time hori

Externí odkaz: http://arxiv.org/abs/2401.03977

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Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally H\'older continuous diffusion

Autor: Do, Minh-Thang, Ngo, Hoang-Long, Pho, Nhat-An

In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first prove the exis

Externí odkaz: http://arxiv.org/abs/2305.07298

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