4 papers · 1 filter
Pathwise skew-symmetric discretisation for SDEs with superlinear drift
Yuga Iguchi, Samuel Livingstone, Giorgos Vasdekis +1
The skew-symmetric discretisation has recently been proposed as a new robust simulation method for weakly approximating stochastic differential equations (SDEs) with non-globally L…
A Closed-Form Transition Density Expansion for Elliptic and Hypo-Elliptic SDEs
Yuga Iguchi, Alexandros Beskos
We introduce a closed-form expansion for the transition density of elliptic and hypo-elliptic multivariate Stochastic Differential Equations (SDEs), over a period , in…
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…
An extended Milstein scheme for effective weak approximation of diffusions
Yuga Iguchi, Toshihiro Yamada
We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and…