24 citations · 33 across the 12 of their papers we have counts for
16 papers
Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms for Lévy-driven stochastic differential equations
Vu Thi Hue, Ngoc Khue Tran, Hoang-Long Ngo
We study the error between the exact solution and its Euler-Maruyama approximation in temporal-spatial Hölder-norms for Lévy-driven stochastic differential equations.
A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients
Hoang-Viet Nguyen, Trung-Thuy Kieu, Duc-Trong Luong +2
This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive…
A tamed-adaptive Milstein scheme for stochastic differential equations with low regularity coefficients
Thi-Huong Vu, Hoang-Long Ngo, Duc-Trong Luong +1
We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally Hölder continuous of order $α…
Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise
Minh-Thang Do, Hoang-Long Ngo, Dai Taguchi
We study the strong existence and uniqueness of solutions within a Weyl chamber for a class of time-dependent particle systems driven by multiplicative noise. This class includes w…
Numerical schemes for radial Dunkl processes
Hoang-Long Ngo, Dai Taguchi
We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in . This class contains some well-k…
On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
Ngoc Khue Tran, Trung-Thuy Kieu, Duc-Trong Luong +1
This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by Lévy processes. We propose a tamed-adaptive Euler-Maruyama scheme and c…
Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
Minh-Thang Do, Hoang-Long Ngo, Nhat-An Pho
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlin…
Limit theorem for reflected random walks
Hoang-Long Ngo, Marc Peigné
Let n , n N be a sequence of i.i.d. random variables with values in Z. The associated random walk on Z is S(n) = 1 + + n+1 and the corr…
Limit theorem for perturbed random walks
Hoang-Long Ngo, Marc Peigne
We consider random walks perturbed at zero which behave like (possibly different) random walks with i.i.d. increments on each half lines and restarts at whenever they cross tha…
Semi-implicit Milstein approximation scheme for non-colliding particle systems
Hoang-Long Ngo, Duc-Trong Luong
We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constan…
Semi-implicit Euler-Maruyama approximation for non-colliding particle systems
Hoang-Long Ngo, Dai Taguchi
We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motion…
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Hoang-Long Ngo, Dai Taguchi
In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are p…
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Hoang-Long Ngo, Dai Taguchi
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided…
Approximation for non-smooth functionals of stochastic differential equations with irregular drift
Hoang-Long Ngo, Dai Taguchi
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and c…
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
Nien-Lin Liu, Hoang-Long Ngo
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus…
Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients
Hoang-Long Ngo, Dai Taguchi
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where th…