Esteban Aguilera, Raúl Fierro Weak convergence of a numerical scheme for stochastic differential equationsProbability and Mathematical Statistics, 37, z. 1, 2017, Strony (201 - 215) DOI: http://dx.doi.org/10.19195/0208-4147.37.1.9 AbstractPobierz artykuł Numerical methods, round-off error, stochastic differential equations, weak convergence |
Ernest Jum, Kei Kobayashi A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motionProbability and Mathematical Statistics, 36, z. 2, 2016, Strony (201 - 220) AbstractPobierz artykuł Stochastic differential equation, numerical approximation, order of convergence, time-changed Brownian motion, inverse subordinator |
Ivan Nourdin, Rola Zintout Cross-variation of Young integral with respect to long-memory fractional Brownian motions35Probability and Mathematical Statistics, 36, z. 1, 2016, Strony (35 - 46) AbstractPobierz artykuł Fractional Brownian motion, Rosenblatt process, Young integral, Breuer–Major theorem, Taqqu’s theorem, stochastic differential equations |
Adrian Falkowski, Leszek Słomiński Stochastic differential equations with constraints driven by processes with bounded p-variationProbability and Mathematical Statistics, 35, z. 2, 2015, Strony (343 - 365) AbstractPobierz artykuł Skorokhod problem, p-variation, integral equations, stochastic differential equations with constraints, reflecting boundary condition |
