Zobrazeno 1 - 10
of 141
pro vyhledávání: '"Tretyakov, M. V."'
Autor:
Tretyakov, M. V.
It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the scheme converge
Externí odkaz:
http://arxiv.org/abs/2407.13389
We derive and analyze numerical methods for weak approximation of underdamped (kinetic) Langevin dynamics in bounded domains. First-order methods are based on an Euler-type scheme interlaced with collisions with the boundary. To achieve second order,
Externí odkaz:
http://arxiv.org/abs/2404.16584
Autor:
Hinds, P. D., Tretyakov, M. V.
Publikováno v:
Journal of Computational Finance, VOLUME 27, NUMBER 3 (2023)
Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control variates parameterized by neural networks, in order to learn approximately
Externí odkaz:
http://arxiv.org/abs/2209.12885
Publikováno v:
Mathematical Models and Methods in Applied Sciences (M3AS) V. 33 (2023), No. 2, pp. 289-339
We introduce a new consensus based optimization (CBO) method where interacting particle system is driven by jump-diffusion stochastic differential equations. We study well-posedness of the particle system as well as of its mean-field limit. The major
Externí odkaz:
http://arxiv.org/abs/2205.04880
Transition probability density functions (TPDFs) are fundamental to computational finance, including option pricing and hedging. Advancing recent work in deep learning, we develop novel neural TPDF generators through solving backward Kolmogorov equat
Externí odkaz:
http://arxiv.org/abs/2105.10467
Publikováno v:
The Annals of Applied Probability Vol. 33 (2023), No. 3, 1904-1960
A simple-to-implement weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. It is proved that the method has the first order of weak convergence. Together with the Monte Carlo techniq
Externí odkaz:
http://arxiv.org/abs/2006.15670
Publikováno v:
in a revised form published in BIT Numerical Mathematics (2021)
We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We approximate the so
Externí odkaz:
http://arxiv.org/abs/2001.05531
We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets. In particular, it is sufficient to cal
Externí odkaz:
http://arxiv.org/abs/1912.01387
Akademický článek
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Autor:
Milstein, G. N., Tretyakov, M. V.
We consider a time discretization of incompressible Navier-Stokes equations with spatial periodic boundary conditions in the vorticity-velocity formulation. The approximation is based on freezing the velocity on time subintervals resulting in linear
Externí odkaz:
http://arxiv.org/abs/1804.07289