2 citations · 2 across the 4 of their papers we have counts for
4 papers
A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients
Hoang-Viet Nguyen, Trung-Thuy Kieu, Duc-Trong Luong +2
This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive…
A tamed-adaptive Milstein scheme for stochastic differential equations with low regularity coefficients
Thi-Huong Vu, Hoang-Long Ngo, Duc-Trong Luong +1
We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally Hölder continuous of order $α…
On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
Ngoc Khue Tran, Trung-Thuy Kieu, Duc-Trong Luong +1
This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by Lévy processes. We propose a tamed-adaptive Euler-Maruyama scheme and c…
Semi-implicit Milstein approximation scheme for non-colliding particle systems
Hoang-Long Ngo, Duc-Trong Luong
We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constan…