3 citations · 4 across the 15 of their papers we have counts for
17 papers
Lamperti Semi-Discrete method
N. Halidias, I. S. Stamatiou
We study the numerical approximation of numerous processes, solutions of nonlinear stochastic differential equations, that appear in various applications such as financial mathemat…
A note on the asymptotic stability of the Semi-Discrete method for Stochastic Differential Equations
Nikolaos Halidias, Ioannis S. Stamatiou
We study the asymptotic stability of the semi-discrete (SD) numerical method for the approximation of stochastic differential equations. Recently, we examined the order of $\mathca…
Convergence rates of the Semi-Discrete method for stochastic differential equations
Ioannis S. Stamatiou, Nikolaos Halidias
We study the convergence rates of the semi-discrete (SD) method originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and appli…
Ergodic Theorems for discrete Markov chains
Nikolaos Halidias
Let be a discrete time Markov chain with state space (countably infinite, in general) and initial probability distribution . Wh…
On the computation of the nth power of a matrix
Nikolaos Halidias
In this note we discuss the problem of finding the nth power of a matrix which is strongly connected to the study of Markov chains and others mathematical topics. We observe the kn…
A generalization of Laplace and Fourier transforms
Nikolaos Halidias
In this note we propose a generalization of the Laplace and Fourier transforms which we call symmetric Laplace transform. It combines both the advantages of the Fourier and Laplace…