Journal articles on the topic 'Milstein approximation'
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Pieschner, Susanne, and Christiane Fuchs. "Bayesian inference for diffusion processes: using higher-order approximations for transition densities." Royal Society Open Science 7, no. 10 (October 2020): 200270. http://dx.doi.org/10.1098/rsos.200270.
Full textSengul, Suleyman, Zafer Bekiryazici, and Mehmet Merdan. "Wong-Zakai method for stochastic differential equations in engineering." Thermal Science 25, Spec. issue 1 (2021): 131–42. http://dx.doi.org/10.2298/tsci200528014s.
Full textAzadfar, Hamed, and Parisa Nabati. "New truncated Milstein approximation of solution of stochastic differential equations." Communications on Advanced Computational Science with Applications 2018, no. 1 (2018): 15–25. http://dx.doi.org/10.5899/2018/cacsa-00090.
Full textPark, Hail. "Estimation of affine term structure models under the Milstein approximation." Applied Economics Letters 21, no. 9 (March 5, 2014): 651–56. http://dx.doi.org/10.1080/13504851.2014.881962.
Full textGhayebi, B., and S. M. Hosseini. "A Simplified Milstein Scheme for SPDEs with Multiplicative Noise." Abstract and Applied Analysis 2014 (2014): 1–15. http://dx.doi.org/10.1155/2014/140849.
Full textRanjbar, Hassan, Leila Torkzadeh, Dumitru Baleanu, and Kazem Nouri. "Simulating systems of Itô SDEs with split-step $ (\alpha, \beta) $-Milstein scheme." AIMS Mathematics 8, no. 2 (2022): 2576–90. http://dx.doi.org/10.3934/math.2023133.
Full textSlassi, Mehdi. "A Milstein-based free knot spline approximation for stochastic differential equations." Journal of Complexity 28, no. 1 (February 2012): 37–47. http://dx.doi.org/10.1016/j.jco.2011.03.005.
Full textMrázek, Milan, and Jan Pospíšil. "Calibration and simulation of Heston model." Open Mathematics 15, no. 1 (May 23, 2017): 679–704. http://dx.doi.org/10.1515/math-2017-0058.
Full textKoulis, Theodoro, Alexander Paseka, and Aerambamoorthy Thavaneswaran. "Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation." Journal of Mathematical Finance 03, no. 03 (2013): 357–65. http://dx.doi.org/10.4236/jmf.2013.33036.
Full textBarth, Andrea, and Annika Lang. "Milstein Approximation for Advection-Diffusion Equations Driven by Multiplicative Noncontinuous Martingale Noises." Applied Mathematics & Optimization 66, no. 3 (August 10, 2012): 387–413. http://dx.doi.org/10.1007/s00245-012-9176-y.
Full textKamrani, Minoo, and Nahid Jamshidi. "Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation." Numerical Algorithms 79, no. 2 (November 13, 2017): 357–74. http://dx.doi.org/10.1007/s11075-017-0440-8.
Full textBrault, Antoine, and Antoine Lejay. "The non-linear sewing lemma III: Stability and generic properties." Forum Mathematicum 32, no. 5 (September 1, 2020): 1177–97. http://dx.doi.org/10.1515/forum-2019-0309.
Full textCalzolari, Antonella, Patrick Florchinger, and Giovanna Nappo. "Nonlinear filtering for stochastic systems with fixed delay: Approximation by a modified Milstein scheme." Computers & Mathematics with Applications 61, no. 9 (May 2011): 2498–509. http://dx.doi.org/10.1016/j.camwa.2011.02.036.
Full textHofmann, Norbert, and Thomas Müller-Gronbach. "A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag." Journal of Computational and Applied Mathematics 197, no. 1 (December 2006): 89–121. http://dx.doi.org/10.1016/j.cam.2005.10.027.
Full textMorkisz, Paweł M., and Paweł Przybyłowicz. "Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information." Journal of Computational and Applied Mathematics 383 (February 2021): 113112. http://dx.doi.org/10.1016/j.cam.2020.113112.
Full textEissa, Mahmoud A., Haiying Zhang, and Yu Xiao. "Mean-Square Stability of Split-Step Theta Milstein Methods for Stochastic Differential Equations." Mathematical Problems in Engineering 2018 (2018): 1–13. http://dx.doi.org/10.1155/2018/1682513.
Full textJacob Kayode, Sunday. "Effect of Varying StepSizes in Numerical Approximation of Stochastic Differential Equations Using One Step Milstein Method." Applied and Computational Mathematics 4, no. 5 (2015): 351. http://dx.doi.org/10.11648/j.acm.20150405.14.
Full textLay, Harold A., Zane Colgin, Viktor Reshniak, and Abdul Q. M. Khaliq. "On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters." Monte Carlo Methods and Applications 24, no. 4 (December 1, 2018): 309–21. http://dx.doi.org/10.1515/mcma-2018-2025.
Full textIlie, Silvana, and Monjur Morshed. "Adaptive Time-Stepping Using Control Theory for the Chemical Langevin Equation." Journal of Applied Mathematics 2015 (2015): 1–10. http://dx.doi.org/10.1155/2015/567275.
Full textYan, Feng, Salah-Eldin A. Mohammed, and Yaozhong Hu. "Discrete-time approximations of stochastic delay equations: The Milstein scheme." Annals of Probability 32, no. 1A (January 2004): 265–314. http://dx.doi.org/10.1214/aop/1078415836.
Full textErmakov, Sergej M., and Anna A. Pogosian. "On solving stochastic differential equations." Monte Carlo Methods and Applications 25, no. 2 (June 1, 2019): 155–61. http://dx.doi.org/10.1515/mcma-2019-2038.
Full textKoulis, Theodoro, and Aera Thavaneswaran. "Inference for Interest Rate Models Using Milstein’s Approximation." Journal of Mathematical Finance 03, no. 01 (2013): 110–18. http://dx.doi.org/10.4236/jmf.2013.31010.
Full textKumar, Chaman, and Sotirios Sabanis. "On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients." BIT Numerical Mathematics 59, no. 4 (June 19, 2019): 929–68. http://dx.doi.org/10.1007/s10543-019-00756-5.
Full textKumar, Chaman, and Sotirios Sabanis. "Correction to: On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients." BIT Numerical Mathematics 60, no. 2 (October 8, 2019): 537. http://dx.doi.org/10.1007/s10543-019-00780-5.
Full textvon Hallern, Claudine, and Andreas Rößler. "A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case." Stochastics and Partial Differential Equations: Analysis and Computations, October 4, 2022. http://dx.doi.org/10.1007/s40072-022-00274-6.
Full textLuong, Duc-Trong, and Hoang-Long Ngo. "Semi-implicit Milstein approximation scheme for non-colliding particle systems." Calcolo 56, no. 3 (July 9, 2019). http://dx.doi.org/10.1007/s10092-019-0319-2.
Full textDavie, A. M. "Approximation of SDE solutions using local asymptotic expansions." Stochastics and Partial Differential Equations: Analysis and Computations, December 10, 2021. http://dx.doi.org/10.1007/s40072-021-00232-8.
Full textŞengül, Süleyman, and Mehmet Merdan. "Wong-Zakai Method Applications for Explicitly Solvable Stochastic Differential Equations." Journal of Advances in Mathematics and Computer Science, October 24, 2019, 1–12. http://dx.doi.org/10.9734/jamcs/2019/v34i1-230202.
Full textvan Rhijn, Jorino, Cornelis W. Oosterlee, Lech A. Grzelak, and Shuaiqiang Liu. "Monte Carlo simulation of SDEs using GANs." Japan Journal of Industrial and Applied Mathematics, September 23, 2022. http://dx.doi.org/10.1007/s13160-022-00534-x.
Full textKubilius, Kęstutis, and Dmitrij Melichov. "Estimating the Hurst index of the solution of a stochastic integral equation." Lietuvos matematikos rinkinys 50 (December 20, 2009). http://dx.doi.org/10.15388/lmr.2009.04.
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