Related papers: Explicit positivity preserving numerical method fo…
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.
In this note we work on the construction of positive preserving numerical schemes for systems of stochastic differential equations. We use the semi discrete idea that we have proposed before proposing now a numerical scheme that preserves…
This paper is concerned with strong convergence of a tamed $\theta$-Euler-Maruyama scheme for neutral stochastic differential delay equations with superlinearly growing coefficients. We not only prove the strong convergence of implicit…
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…
We prove the existence of explicit linear multistep methods of any order with positive coefficients. Our approach is based on formulating a linear programming problem and establishing infeasibility of the dual problem. This yields a number…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
This paper presents a linear-programming based algorithm to perform data-driven stabilizing control of linear positive systems. A set of state-input-transition observations is collected up to magnitude-bounded noise. A state feedback…
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…
The exponential stability of numerical methods to stochastic differential equations (SDEs) has been widely studied. In contrast, there are relatively few works on polynomial stability of numerical methods. In this letter, we address the…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
This article is concerned with a mutualism ecological model with stochastic perturbations. the local existence and uniqueness of a positive solution are obtained with positive initial value, and the asymptotic behavior to the problem is…
We present stochastic variants of the exponential time differencing schemes for stiff stochastic differential equations. We derive three explicit schemes that offer better stability compared to Euler-Maruyama and Milstein's method, and…
We consider numerical methods for linear parabolic equations in one spatial dimension having piecewise constant diffusion coefficients defined by a one parameter family of interface conditions at the discontinuity. We construct immersed…
We consider a generic and explicit tamed Euler--Maruyama scheme for multidimensional time-inhomogeneous stochastic differential equations with multiplicative Brownian noise. The diffusive coefficient is uniformly elliptic, H\"older…
This paper focuses on two variants of the Milstein scheme, namely the split-step backward Milstein method and a newly proposed projected Milstein scheme, applied to stochastic differential equations which satisfy a global monotonicity…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
In this paper, two finite difference numerical schemes are proposed and analyzed for the droplet liquid film model, with a singular Leonard-Jones energy potential involved. Both first and second order accurate temporal algorithms are…
We study the Euler scheme for a stochastic differential equation driven by a Levy process Y. More precisely, we look at the asymptotic behavior of the normalized error process u_n(X^n-X), where X is the true solution and X^n is its Euler…
We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation…
In this paper, we consider a long-time behavior of stable-like processes. A stable-like process is a Feller process given by the symbol $p(x,\xi)=-i\beta(x)\xi+\gamma(x)|\xi|^{\alpha(x)},$ where $\alpha(x)\in(0,2)$, $\beta(x)\in\R$ and…