Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Stamatiou, Ioannis"'
In this article, we construct a numerical method for a stochastic version of the Susceptible Infected Susceptible (SIS) epidemic model, expressed by a suitable stochastic differential equation (SDE), by using the semi-discrete method to a suitable tr
Externí odkaz:
http://arxiv.org/abs/2307.14404
Publikováno v:
In Journal of Computational and Applied Mathematics 1 March 2025 456
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:
http://arxiv.org/abs/2008.03148
We study the convergence rates of the semi-discrete (SD) method originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal of Computer Mathematics, 89(6). The SD
Externí odkaz:
http://arxiv.org/abs/2001.07483
Autor:
Stamatiou, Ioannis S.
We apply the semi-discrete method, c.f. \emph{N. Halidias and I.S. Stamatiou (2016), On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method, Computational Methods in Applied Mathematics, 16(1)},
Externí odkaz:
http://arxiv.org/abs/1807.08924
Autor:
Stamatiou, Ioannis S
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:
http://arxiv.org/abs/1803.00327
Autor:
Stamatiou, Ioannis S.
We use the semi-discrete method, originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal of Computer Mathematics, 89(6), to reproduce qualitative properties of
Externí odkaz:
http://arxiv.org/abs/1708.07857
Autor:
Stamatiou, Ioannis S.
In this note we study the asymptotic mean-square stability for two-step schemes applied to a scalar stochastic differential equation (sde) and applied to systems of sdes. We derive necessary and sufficient conditions for the asymptotic MS-stability o
Externí odkaz:
http://arxiv.org/abs/1704.08515
Autor:
Stamatiou, Ioannis S.
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:
http://arxiv.org/abs/1704.04227
Autor:
Halidias, Nikolaos, Stamatiou, Ioannis
In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are described as
Externí odkaz:
http://arxiv.org/abs/1502.03018