The truncated Euler–Maruyama method for stochastic differential delay equations
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DOI: 10.1007/s11075-017-0391-0
Abstract: The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao (Appl. Math. Comput. 217, 5512–5524 2011), and the theory there showed that the Euler–Maruyama (EM) numerical solutions… read more here.
Keywords: numerical solutions; stochastic differential; euler maruyama; differential delay ... See more keywords
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
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DOI: 10.1007/s11464-018-0705-0
Abstract: We consider the Euler-Maruyama discretization of stochastic volatility model dSt = σtStdWt, dσt = ωσtdZt, t ∈ [0, T], which has been widely used in financial practice, where Wt,Zt, t ∈ [0, T], are two… read more here.
Keywords: stochastic volatility; volatility; moderate deviations; euler maruyama ... See more keywords
The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise
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DOI: 10.1080/07362994.2017.1371037
Abstract: ABSTRACT Consider the stochastic (functional) differential equations in with Hölder continuous drift driven by α-stable process satisfying (H1). Using Zvonkin type transformation, the convergence rate of Euler-Maruyama method is obtained. The results are new, especially… read more here.
Keywords: euler maruyama; drift; method des; maruyama method ... See more keywords