3 papers
math.PR2026
Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms for Lévy-driven stochastic differential equations
Vu Thi Hue, Ngoc Khue Tran, Hoang-Long Ngo
We study the error between the exact solution and its Euler-Maruyama approximation in temporal-spatial Hölder-norms for Lévy-driven stochastic differential equations.
math.PR2024
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…
math.PR2024
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…