arXiv subjects

Tran Ngoc Khue

Publications and source records attributed to Tran Ngoc Khue.

2 recordsLinked to original sources

arXiv2025

A tamed-adaptive Milstein scheme for stochastic differential equations with low regularity coefficients

We propose a tamed-adaptive Milstein scheme for stochastic differential equations in which the first-order derivatives of the coefficients are locally Hölder continuous of order $α$. We show that the scheme converges in the $L_2$-norm with a rate of $(1+α)/2$ over both finite intervals $[0, T]$ and the infinite interval $(0, +\infty)$, under certain growth conditions on the coefficients.

math.PR↗

arXiv2024

A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients

This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive Euler-Maruyama scheme with the Multi-level Monte Carlo method, we propose an approximation scheme that can be applied to stochastic differential equations with super-linear growth drift and diffusion coefficients.

math.PR↗