Related papers: The Euler scheme for Feller processes
An equation containing a fractional power of an elliptic operator of second order is studied for Dirichlet boundary conditions. Finite difference approximations in space are employed. The proposed numerical algorithm is based on solving an…
Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we need to resort to simulation-based techniques to estimate and…
We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known…
Stochastic differential equations with noisy memory are often impossible to solve analytically. Therefore, we derive a numerical Euler-Maruyama scheme for such equations and prove that the mean-square error of this scheme is of order…
In this paper, we obtain the existence, uniqueness and positivity of the solution to delayed stochastic differential equations with jumps. This equation is then applied to model the price movement of the risky asset in a financial market…
A kinetic model with flexible velocities is presented for solving the multi-component Euler equations. The model employs a two-velocity formulation in 1D and a three-velocity formulation in 2D. In 2D, the velocities are aligned with the…
For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly to the exact solution. Recently, an…
Quantum algorithms for Hamiltonian simulation and linear differential equations more generally have provided promising exponential speed-ups over classical computers on a set of problems with high real-world interest. However, extending…
We study the homogenization for a class of non-symmetric pure jump Feller processes. The jump intensity involves periodic and aperiodic constituents, as well as oscillating and non-oscillating constituents. This means that the noise can…
We propose a modification of the standard linear implicit Euler integrator for the weak approximation of parabolic semilinear stochastic PDEs driven by additive space-time white noise. The new method can easily be combined with a finite…
Stochastic differential equations (sdes) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
In this paper, we show that the abstract framework developed in Pages & Rey (2017) and inspired by Lamberton & Pages (2002) can be used to build invariant distributions for Brownian diffusion processes using the Milstein scheme and for…
We consider high frequency samples from ergodic L\'evy driven stochastic differential equation (SDE) with drift coefficient $a(x,\alpha)$ and scale coefficient $c(x,\gamma)$ involving unknown parameters $\alpha$ and $\gamma$. We suppose…
Infinite-dimensional stochastic differential equations (ISDEs) describing systems with an infinite number of particles are considered. Each particle undergoes a L\'evy process, and the interaction between particles is determined by the…
Schemes with the second-order approximation in time are considered for numerical solving the Cauchy problem for an evolutionary equation of first order with a self-adjoint operator. The implicit two-level scheme based on the Pad\'{e}…
We propose new jump-adapted weak approximation schemes for stochastic differential equations driven by pure-jump L\'evy processes. The idea is to replace the driving L\'evy process $Z$ with a finite intensity process which has the same…
Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the…
This paper aims to investigate the asymptotic error distribution of several numerical methods for stochastic partial differential equations (SPDEs) with multiplicative noise. Firstly, we give the limit distribution of the normalized error…
An Euler-type framework with equidistant step sizes is proposed for a class of time-changed stochastic differential equations.We establish the strong convergence rate of the standard Euler--Maruyama method under the global Lipschitz…