In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processes that use generation of a three-valued random variable at each discretization step without switching to other schemes near zero, unlike other known schemes. The accuracy of constructed approximations is illustrated by several simulation examples
We propose new jump-adapted weak approximation schemes for stochas-tic differential equations driven...
We develop some simple simulation algorithms for CIR and Wishart processes. We investigate rigorousl...
For positive diffusions, we construct split-step second-order weak approximations preserving the pos...
In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processe...
In this paper, we construct first- and second-order weak split-step approximations for the solutions...
In this paper, we construct first- and second-order weak split-step approximations for the solutions...
Abstract. A general procedure to construct weak methods for the numerical solution of stochas-tic di...
UnrestrictedLevy processes are the simplest generic class of processes having a.s. continuous paths ...
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak app...
In an analogy from symmetric ordinary differential equation numerical integrators, we derive a three...
In this paper, we discuss the possibility of using multilevel Monte Carlo (MLMC) approach for weak a...
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak app...
International audienceThis paper presents weak second and third order schemes for the Cox-Ingersoll-...
We consider a general class of high order weak approximation schemes for stochastic differential equ...
International audienceStochastic volatility models can be seen as a particular family of two-dimensi...
We propose new jump-adapted weak approximation schemes for stochas-tic differential equations driven...
We develop some simple simulation algorithms for CIR and Wishart processes. We investigate rigorousl...
For positive diffusions, we construct split-step second-order weak approximations preserving the pos...
In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processe...
In this paper, we construct first- and second-order weak split-step approximations for the solutions...
In this paper, we construct first- and second-order weak split-step approximations for the solutions...
Abstract. A general procedure to construct weak methods for the numerical solution of stochas-tic di...
UnrestrictedLevy processes are the simplest generic class of processes having a.s. continuous paths ...
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak app...
In an analogy from symmetric ordinary differential equation numerical integrators, we derive a three...
In this paper, we discuss the possibility of using multilevel Monte Carlo (MLMC) approach for weak a...
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak app...
International audienceThis paper presents weak second and third order schemes for the Cox-Ingersoll-...
We consider a general class of high order weak approximation schemes for stochastic differential equ...
International audienceStochastic volatility models can be seen as a particular family of two-dimensi...
We propose new jump-adapted weak approximation schemes for stochas-tic differential equations driven...
We develop some simple simulation algorithms for CIR and Wishart processes. We investigate rigorousl...
For positive diffusions, we construct split-step second-order weak approximations preserving the pos...
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