dc.date.accessioned | 2023-03-01T18:16:34Z | |
dc.date.available | 2023-03-01T18:16:34Z | |
dc.date.created | 2022-11-14T08:10:37Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Di Nunno, Giulia Mishura, Yuliya Yurchenko-Tytarenko, Anton . Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises. Numerical Algorithms. 2022 | |
dc.identifier.uri | http://hdl.handle.net/10852/100576 | |
dc.description.abstract | In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary λ-Hölder continuous process, λ ∈ (0,1). We prove that, under some mild moment assumptions on the Hölder constant of the noise, the Lr(Ω;L∞([0,T]))-approximation error converges to 0 as O(Δλ), Δ → 0. To exemplify, we consider numerical schemes for the generalized Cox–Ingersoll–Ross and Tsallis–Stariolo–Borland models. The results are illustrated by simulations. | |
dc.language | EN | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises | |
dc.title.alternative | ENEngelskEnglishDrift-implicit Euler scheme for sandwiched processes driven by Hölder noises | |
dc.type | Journal article | |
dc.creator.author | Di Nunno, Giulia | |
dc.creator.author | Mishura, Yuliya | |
dc.creator.author | Yurchenko-Tytarenko, Anton | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Risiko og stokastikk (SEKSJON 3) | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 2073129 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Numerical Algorithms&rft.volume=&rft.spage=&rft.date=2022 | |
dc.identifier.jtitle | Numerical Algorithms | |
dc.identifier.pagecount | 33 | |
dc.identifier.doi | https://doi.org/10.1007/s11075-022-01424-6 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1017-1398 | |
dc.type.version | PublishedVersion | |
dc.relation.project | NFR/274410 | |