3 papers
math.NA2021
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…
math.NA2020
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…
math.NA2020
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…