Found 16 Documents (Results 1–16)
Two-step order \(\frac{3}{2}\) strong method for approximating stochastic differential equations. (English) Zbl 1538.60119
Stochastic evolution of distributions and functional Bollinger bands. (English) Zbl 07888922
MSC:
62-XX
A generic construction for high order approximation schemes of semigroups using random grids. (English) Zbl 1489.65013
Wasserstein convergence rates for random bit approximations of continuous Markov processes. (English) Zbl 1466.60145
The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms. (English) Zbl 1463.60079
MSC:
60H10
Higher-order Runge-Kutta method for Itô stochastic differential equations with a non-degenerate diffusion matrix. (English) Zbl 1506.60066
Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion. (English) Zbl 1452.65015
User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient. (English) Zbl 1428.62316
The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method. (English) Zbl 1470.65006
Evolution of the Wasserstein distance between the marginals of two Markov processes. (English) Zbl 1428.60124
Multilevel Monte Carlo approximation of distribution functions and densities. (English) Zbl 1322.65014
KMT theory applied to approximations of SDE. (English) Zbl 1388.60116
Crisan, Dan (ed.) et al., Stochastic analysis and applications 2014. In honour of Terry Lyons. Selected articles based on the presentations at the conference, Oxford, UK, September 23–27, 2013. Cham: Springer (ISBN 978-3-319-11291-6/hbk; 978-3-319-11292-3/ebook). Springer Proceedings in Mathematics & Statistics 100, 185-201 (2014).
A mixed-step algorithm for the approximation of the stationary regime of a diffusion. (English) Zbl 1284.60075
Filter Results by …
Document Type
- Journal Articles (15)
- Collection Articles (1)
all
top 5
Author
- Alhojilan, Yazid (4)
- Alfonsi, Aurélien (2)
- Alnafisah, Yousef (2)
- Jourdain, Benjamin (2)
- Panloup, Fabien (2)
- Ankirchner, Stefan (1)
- Bally, Vlad (1)
- Bernis, Guillaume (1)
- Bréhier, Charles-Edouard (1)
- Brunel, Nicolas J-B. (1)
- Corbetta, Jacopo (1)
- Dalalyan, Arnak S. (1)
- Davie, Alexander M. (1)
- de Raynal, P. -E Chaudru (1)
- Giles, Michael B. (1)
- Karagulyan, Avetik G. (1)
- Kornprobst, Antoine (1)
- Kruse, Thomas (1)
- Lemaire, Vincent (1)
- Nagapetyan, Tigran (1)
- Pagès, Gilles (1)
- Reygner, Julien (1)
- Ritter, Klaus (1)
- Scotti, Simone (1)
- Urusov, Mikhail A. (1)
all
top 5
Serial
- Adv. Differ. Equ. Control Process. (3)
- Stochastic Processes Appl. (2)
- J. Math. Anal. Appl. (1)
- Numer. Math. (1)
- Appl. Math., Ser. B (Engl. Ed.) (1)
- Bernoulli (1)
- Abstr. Appl. Anal. (1)
- Appl. Stoch. Models Bus. Ind. (1)
- Stoch. Partial Differ. Equ., Anal. Comput. (1)
- SIAM/ASA J. Uncertain. Quantif. (1)
- Open Math. (1)
- ESAIM, Proc. Surv. (1)
Software
- Matlab (3)
