Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Tran, Ngoc Khue"'
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
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of the solutio
Externí odkaz:
http://arxiv.org/abs/2104.12168
Autor:
Tran, Ngoc Khue, Ngo, Hoang-Long
Publikováno v:
In Journal of Statistical Planning and Inference July 2023 225:1-28
In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is a unknown parameter. The L\'evy measure of the subordinator is finite or infinite. Considering the
Externí odkaz:
http://arxiv.org/abs/1903.00358
Publikováno v:
In Applied Mathematics and Computation 1 May 2022 420
Autor:
Khoa Huynh, Nguyen Anh, Do, Thi Hong Tuoi, Le, Xuan Loc, Huynh, Truc Thanh Ngoc, Nguyen, Duc Hanh, Tran, Ngoc Khue, Tran, Cao Thuy Ha Lan, Nguyen, Dai Hai, Truong, Cong Tri
Publikováno v:
In Journal of Drug Delivery Science and Technology February 2022 68
In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at high frequency, we prove the local asymptotic normality property in th
Externí odkaz:
http://arxiv.org/abs/1708.07070
Autor:
Tran, Ngoc Khue
Dans cette thèse nous appliquons le calcul de Malliavin afin d’obtenir la propriété de normalité asymptotique locale (LAN) à partir d’observations discrètes de certains processus de diffusion uniformément elliptique avec sauts. Dans le Cha
Externí odkaz:
http://www.theses.fr/2014PA132008/document
Autor:
Tran, Ngoc Khue
In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters. Considering
Externí odkaz:
http://arxiv.org/abs/1506.07270
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L\'evy process with finite L\'evy measure, whose drift coefficient depends on an unknown p
Externí odkaz:
http://arxiv.org/abs/1506.00776