For positive diffusions, we construct split-step second-order weak approximations preserving the positivity property. For illustration, we apply the construction to some popular stochastic differential equations such as Verhulst, CIR, and CKLS equations
AbstractConnections between weak solutions of stochastic differential inclusions and solutions of pa...
International audienceWe consider linear and nonlinear reaction-diffusion problems, and their time d...
A. We study the weak approximation problem of diffusions, which are reflected at a subset of the bou...
For positive diffusions, we construct split-step second-order weak approximations preserving the pos...
International audienceIn this article we develop a new methodology to prove weak approximation resul...
We study a class of fractional stochastic differential equations (FSDEs) with coefficients that may ...
We study the positivity of solutions of a class of semi-linear parabolic systems of stochastic parti...
This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and j...
In this thesis, the convergence analysis of a class of weak approximations of solutions of stochasti...
We study the positivity of solutions of a class of semi-linear parabolic systems of stochastic parti...
This work concerns with the numerical approximation for the stochastic Lotka–Volterra model original...
AbstractA convergence theorem for the continuous weak approximation of the solution of stochastic di...
In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processe...
International audienceWe provide new regularity results for the solutions of the Kolmogorov equation...
A splitting-up approximation is introduced for diffusion processes, based on the successive composit...
AbstractConnections between weak solutions of stochastic differential inclusions and solutions of pa...
International audienceWe consider linear and nonlinear reaction-diffusion problems, and their time d...
A. We study the weak approximation problem of diffusions, which are reflected at a subset of the bou...
For positive diffusions, we construct split-step second-order weak approximations preserving the pos...
International audienceIn this article we develop a new methodology to prove weak approximation resul...
We study a class of fractional stochastic differential equations (FSDEs) with coefficients that may ...
We study the positivity of solutions of a class of semi-linear parabolic systems of stochastic parti...
This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and j...
In this thesis, the convergence analysis of a class of weak approximations of solutions of stochasti...
We study the positivity of solutions of a class of semi-linear parabolic systems of stochastic parti...
This work concerns with the numerical approximation for the stochastic Lotka–Volterra model original...
AbstractA convergence theorem for the continuous weak approximation of the solution of stochastic di...
In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processe...
International audienceWe provide new regularity results for the solutions of the Kolmogorov equation...
A splitting-up approximation is introduced for diffusion processes, based on the successive composit...
AbstractConnections between weak solutions of stochastic differential inclusions and solutions of pa...
International audienceWe consider linear and nonlinear reaction-diffusion problems, and their time d...
A. We study the weak approximation problem of diffusions, which are reflected at a subset of the bou...
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