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math.NA2024
An extended Milstein scheme for effective weak approximation of diffusions
Yuga Iguchi, Toshihiro Yamada
We propose a straightforward and effective method for discretizing multi-dimensional diffusion processes as an extension of Milstein scheme. The new scheme is explicitly given and…
math.PR2024
Skew-symmetric schemes for stochastic differential equations with non-Lipschitz drift: an unadjusted Barker algorithm
Yuga Iguchi, Samuel Livingstone, Nikolas Nüsken +2
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a sk…
math.NA2024
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…