193 citations · 476 across the 39 of their papers we have counts for
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math.PR2016★ 1 cited
On Explicit Approximations for Lévy Driven SDEs with Super-linear Diffusion Coefficients
Chaman Kumar, Sotirios Sabanis
Motivated by the results of \cite{sabanis2015}, we propose explicit Euler-type schemes for SDEs with random coefficients driven by Lévy noise when the drift and diffusion coefficie…
math.PR2016
On fixed gain recursive estimators with discontinuity in the parameters
Huy N. Chau, Chaman Kumar, Miklós Rásonyi +1
In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instea…
math.PR2016
On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
Chaman Kumar, Sotirios Sabanis
A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in thi…