2 papers
math.PR2023
Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
Ulises Botija-Munoz, Chenggui Yuan
In this paper, we estimate the variance of two coupled paths derived with the Multilevel Monte Carlo method combined with the Euler Maruyama discretization scheme for the simulatio…
math.PR2022
Explicit Numerical Approximations for SDDEs in Finite and Infinite Horizons using the Adaptive EM Method: Strong Convergence and Almost Sure Exponential Stability
Ulises Botija-Munoz, Chenggui Yuan
In this paper we investigate explicit numerical approximations for stochastic differential delay equations (SDDEs) under a local Lipschitz condition by employing the adaptive Euler…