3 citations · 3 across the 8 of their papers we have counts for
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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…
Numerical approximation for non-colliding particle systems
Ioannis S. Stamatiou
We apply the semi-discrete method, c.f. \emph{N. Halidias and I.S. Stamatiou (2016), On the numerical solution of some non-linear stochastic differential equations using the semi-d…
An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
Ioannis S Stamatiou
We consider mean-reverting CIR/CEV processes with delay and jumps used as models on the financial markets. These processes are solutions of stochastic differential equations with j…
A note on pathwise stability and positivity of nonlinear stochastic differential equations
Ioannis S. Stamatiou
We use the semi-discrete method, originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal…
A note on Asymptotic mean-square stability of stochastic linear two-step methods for SDEs
Ioannis S. Stamatiou
In this note we study the asymptotic mean-square stability for two-step schemes applied to a scalar stochastic differential equation (sde) and applied to systems of sdes. We derive…
A boundary preserving numerical scheme for the Wright-Fisher model
Ioannis S. Stamatiou
We are interested in the numerical approximation of non-linear stochastic differential equations (SDEs) with solution in a certain domain. Our goal is to construct explicit numeric…
Approximating explicitly the mean reverting CEV process
Nikolaos Halidias, Ioannis Stamatiou
In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV proce…
On the numerical solution of some nonlinear stochastic differential equations using the semi-discrete method
Nikolaos Halidias, Ioannis S. Stamatiou
In this paper we are interested in the numerical solution of stochastic differential equations with non negative solutions. Our goal is to construct explicit numerical schemes that…