3 citations · 3 across the 8 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
math.NA2018
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…
math.NA2018
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…