5 citations · 10 across the 9 of their papers we have counts for
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A splitting method for SDEs with locally Lipschitz drift: Illustration on the FitzHugh-Nagumo model
Evelyn Buckwar, Adeline Samson, Massimiliano Tamborrino +1
In this article, we construct and analyse an explicit numerical splitting method for a class of semi-linear stochastic differential equations (SDEs) with additive noise, where the…
Theoretical analysis and simulation methods for Hawkes processes and their diffusion approximation
Julien Chevallier, Anna Melnykova, Irene Tubikanec
Oscillatory systems of interacting Hawkes processes with Erlang memory kernels were introduced in Ditlevsen (2017). They are piecewise deterministic Markov processes (PDMP) and can…
Qualitative properties of numerical methods for the inhomogeneous geometric Brownian motion
Irene Tubikanec, Massimiliano Tamborrino, Petr Lansky +1
We provide a comparative analysis of qualitative features of different numerical methods for the inhomogeneous geometric Brownian motion (IGBM). The conditional and asymptotic mean…