8 citations · 53 across the 24 of their papers we have counts for
26 papers
Weak Convergence Of Tamed Exponential Integrators for Stochastic Differential Equations
Utku Erdogan, Gabriel J. Lord
We prove weak convergence of order one for a class of exponential based integrators for SDEs with non-globally Lipschtiz drift. Our analysis covers tamed versions of Geometric Brow…
Convergence of a splitting method for a general interest rate model
Gabriel Lord Mengchao Wang
We prove mean-square convergence of a novel numerical method, the tamed-splitting method, for a generalized Ait-Sahalia interest rate model. The method is based on a Lamperti trans…
Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
Gabriel Lord, Andreas Petersson
Efficient simulation of stochastic partial differential equations (SPDE) on general domains requires noise discretization. This paper employs piecewise linear interpolation of nois…
The heat modulated infinite dimensional Heston model and its numerical approximation
Fred Espen Benth, Gabriel Lord, Giulia Di Nunno +1
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite d…
An adaptive splitting method for the Cox-Ingersoll-Ross process
Cónall Kelly, Gabriel J. Lord
We propose a new splitting method for strong numerical solution of the Cox-Ingersoll-Ross model. For this method, applied over both deterministic and adaptive random meshes, we pro…
Strong convergence of a Verlet integrator for the semi-linear stochastic wave equation
Lehel Banjai, Gabriel Lord, Jeta Molla
The full discretization of the semi-linear stochastic wave equation is considered. The discontinuous Galerkin finite element method is used in space and analyzed in a semigroup fra…