24 citations · 33 across the 12 of their papers we have counts for
5 papers · 1 filter
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…