Relevant bibliographies by topics / Euler Maruyama Scheme

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Euler Maruyama Scheme'

Author: Grafiati
Published: 4 June 2021
Last updated: 27 April 2022

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Journal articles on the topic "Euler Maruyama Scheme"

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Pierret, Frédéric. "A non-standard-Euler–Maruyama scheme." Journal of Difference Equations and Applications 22, no. 1 (2015): 75–98. http://dx.doi.org/10.1080/10236198.2015.1076809.

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Samimi, Oldouz, and Farshid Mehrdoust. "Pricing multi-asset American option under Heston stochastic volatility model." International Journal of Financial Engineering 05, no. 03 (2018): 1850026. http://dx.doi.org/10.1142/s2424786318500263.

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In this paper, we employ the Least-Squares Monte-Carlo (LSM) algorithm regarding three discretization schemes, namely, the Euler–Maruyama discretization scheme, the Milstein scheme and the Quadratic Exponential (QE) scheme to price the multiple assets American put option under the Heston stochastic volatility model. Some numerical results are presented to demonstrate the effectiveness of the proposed methods.
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TANAKA, HIDEYUKI, and TOSHIHIRO YAMADA. "STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD." International Journal of Theoretical and Applied Finance 17, no. 02 (2014): 1450014. http://dx.doi.org/10.1142/s0219024914500149.

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Motivated by weak convergence results in the paper of Takahashi & Yoshida (2005), we show strong convergence for an accelerated Euler–Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the same acceleration is also discussed as an extended result. The theoretical results can be applied to analyze the multi-level Monte Carlo method originally developed by M.B. Giles. Several numerical experiments for the stochastic alpha-beta-rho (SABR) model of stochastic volatility are presented in order to confirm the efficiency of the schemes.
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Doan, T. S., P. T. Huong, P. E. Kloeden, and A. M. Vu. "Euler–Maruyama scheme for Caputo stochastic fractional differential equations." Journal of Computational and Applied Mathematics 380 (December 2020): 112989. http://dx.doi.org/10.1016/j.cam.2020.112989.

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Thapa, Bharat Bahadur, Samir Shrestha, and Dil Bahadur Gurung. "Deterministic and Stochastic Holling-Tanner Prey-Predator Models." Advances in Engineering and Technology: An International Journal 1, no. 1 (2021): 1–8. http://dx.doi.org/10.3126/aet.v1i1.39604.

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A modified version of the so called Holling-Tanner prey-predator models with prey dependent functional response is introduced. We improved some new results on Holling-Tanner model from Lotka-Volterra model on real ecological systems and studied the stability of this model in the deterministic and stochastic environments. The study was focused on three types of stability, namely, stable node, spiral node, and center. The numerical schemes are employed to get the approximated solutions of the differential equations. We have used Euler scheme to solve the deterministic prey-predator model and we
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Kuang, Shifang, Yunjian Peng, Feiqi Deng, and Wenhua Gao. "Exponential Stability and Numerical Methods of Stochastic Recurrent Neural Networks with Delays." Abstract and Applied Analysis 2013 (2013): 1–11. http://dx.doi.org/10.1155/2013/761237.

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Exponential stability in mean square of stochastic delay recurrent neural networks is investigated in detail. By using Itô’s formula and inequality techniques, the sufficient conditions to guarantee the exponential stability in mean square of an equilibrium are given. Under the conditions which guarantee the stability of the analytical solution, the Euler-Maruyama scheme and the split-step backward Euler scheme are proved to be mean-square stable. At last, an example is given to demonstrate our results.
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Lamba, H., J. C. Mattingly, and A. M. Stuart. "An adaptive Euler-Maruyama scheme for SDEs: convergence and stability." IMA Journal of Numerical Analysis 27, no. 3 (2006): 479–506. http://dx.doi.org/10.1093/imanum/drl032.

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Agrawal, Nishant, and Yaozhong Hu. "Jump Models with Delay—Option Pricing and Logarithmic Euler–Maruyama Scheme." Mathematics 8, no. 11 (2020): 1932. http://dx.doi.org/10.3390/math8111932.

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In this paper, we obtain the existence, uniqueness, and positivity of the solution to delayed stochastic differential equations with jumps. This equation is then applied to model the price movement of the risky asset in a financial market and the Black–Scholes formula for the price of European option is obtained together with the hedging portfolios. The option price is evaluated analytically at the last delayed period by using the Fourier transformation technique. However, in general, there is no analytical expression for the option price. To evaluate the price numerically, we then use the Mon
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Liu, Jun, and Jin Zhou. "Convergence rate of Euler–Maruyama scheme for stochastic pantograph differential equations." Communications in Nonlinear Science and Numerical Simulation 19, no. 6 (2014): 1697–705. http://dx.doi.org/10.1016/j.cnsns.2013.10.015.

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Yi, Yulian, Yaozhong Hu, and Jingjun Zhao. "Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations." Communications in Nonlinear Science and Numerical Simulation 101 (October 2021): 105895. http://dx.doi.org/10.1016/j.cnsns.2021.105895.

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Dissertations / Theses on the topic "Euler Maruyama Scheme"

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Kemajou, Elisabeth. "A Stochastic Delay Model for Pricing Corporate Liabilities." OpenSIUC, 2012. https://opensiuc.lib.siu.edu/dissertations/547.

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We suppose that the price of a firm follows a nonlinear stochastic delay differential equation. We also assume that any claim whose value depends on firm value and time follows a nonlinear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive a random partial differential equation (RPDE) satisfied by any corporate claim whose value is a function of firm value and time. Under specific final and boundary conditions, we solve the RPDE for the debt value and loan guarantees within a single period and homogeneous class of debt. We then analyze th
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Edward, Viktor. "Quantization of stochastic processes with applications on Euler-Maruyama schemes." Thesis, Uppsala universitet, Avdelningen för beräkningsvetenskap, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-264878.

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This thesis investigates so called quantizations of continuous random variables. A quantization of a continuous random variables is a discrete random variable that approximates the continuous one by having similar properties, often by sharing weak convergence. A measure on how well the quantization approximates the continuous variable is introduced and methods for generating quantizations are developed. The connection between quantization of the normal distribution and the Hermite polynomials is discussed and methods for generating optimal quantizations are suggested. An observed connection be
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Bencheikh, Oumaima. "Analyse de l'erreur faible de discrétisation en temps et en particules d'équations différentielles stochastiques non linéaires au sens de McKean." Thesis, Paris Est, 2020. http://www.theses.fr/2020PESC1030.

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Cette thèse est consacrée à l'étude théorique et numérique de l'erreur faible de discrétisation en temps et en particules d'Équations Différentielles Stochastiques non linéaires au sens de McKean. Nous abordons dans la première partie l'analyse de la vitesse faible de convergence de la discrétisation temporelle d'EDS standards. Plus spécifiquement, nous étudions la convergence en variation totale du schéma d'Euler-Maruyama appliqué à des ED d-dimensionnelles avec un coefficient de dérive mesurable et un bruit additif. Nous obtenons, en supposant que le coefficient de dérive est borné, un ordre
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Book chapters on the topic "Euler Maruyama Scheme"

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Bao, Jianhai, George Yin, and Chenggui Yuan. "Convergence Rate of Euler–Maruyama Scheme for FSDEs." In SpringerBriefs in Mathematics. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46979-9_3.

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Hu, Yaozhong. "Semi-Implicit Euler-Maruyama Scheme for Stiff Stochastic Equations." In Stochastic Analysis and Related Topics V. Birkhäuser Boston, 1996. http://dx.doi.org/10.1007/978-1-4612-2450-1_9.

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Taguchi, Dai, and Akihiro Tanaka. "On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition." In Lecture Notes in Mathematics. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-28535-7_9.

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Conference papers on the topic "Euler Maruyama Scheme"

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Dridi, Naura, Lucas Drumetz, and Ronan Fablet. "Learning stochastic dynamical systems with neural networks mimicking the Euler-Maruyama scheme." In 2021 29th European Signal Processing Conference (EUSIPCO). IEEE, 2021. http://dx.doi.org/10.23919/eusipco54536.2021.9616068.

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Wang, Guoqiang, and Donglong Li. "Algorithmic Analysis of Euler-Maruyama Scheme for Stochastic Differential Delay Equations with Markovian Switching and Poisson Jump, under Non-Lipschitz Condition." In 2009 Fifth International Conference on Natural Computation. IEEE, 2009. http://dx.doi.org/10.1109/icnc.2009.54.

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Perkins, Edmon, and Balakumar Balachandran. "Noise-Influenced Dynamics of a Vertically Excited Pendulum." In ASME 2013 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/detc2013-12336.

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While the effects of noise on a dynamical system are often considered to be detrimental, noise can also have beneficial effects on the response of a system. In this work, the vertically excited pendulum is used as an example to illustrate the beneficial effects of noise. The upright equilibrium position of this system can be stabilized passively with a high-frequency excitation by utilizing the system nonlinearities and a bifurcation. After introducing white Gaussian noise into the pendulum pivot motion, the stability of the system prior to this bifurcation is analyzed. It is shown that white
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Ramakrishnan, Subramanian, Collin Lambrecht, and Connor Edlund. "Stochastic Dynamics of a Piezoelectric Energy Harvester Subjected to Lévy Flight Excitations." In ASME 2017 Dynamic Systems and Control Conference. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/dscc2017-5404.

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Vibration energy harvesting seeks to exploit the energy of ambient random vibration for power generation, particularly in small scale devices. Piezoelectric transduction is often used as a conversion mechanism in harvesting and the random excitation is typically modeled as a Brownian stochastic process. However, non-Brownian excitations are of potential interest, particularly in the nonequilibrium regime of harvester dynamics. In this work, we investigate the averaged power output of a generic piezoelectric harvester driven by Brownian as well as (non-Brownian) Lévy stable excitations both in
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Ramakrishnan, Subramanian, and Connor Edlund. "Stochastic Stability of a Piezoelectric Vibration Energy Harvester and Stabilization Using Noise." In ASME 2018 Dynamic Systems and Control Conference. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/dscc2018-9216.

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Vibration energy harvesters convert the energy of ambient, random vibration into electrical power often using piezoelectric transduction. The stochastic dynamics of a piezoelectric harvester with parameteric uncertainties is yet to be fully explored in the nonequilibrium regime. Motivated by mathematical results that establish the counterintuitive phenomenon of stabilization of response in certain nonlinear systems using noise, we investigate the stochastic stability of a generic harvester in the linear and the monostable nonlinear regimes excited by multiplicative noise characterized by both
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Devarajan, K., V. Shankaranarayanan, K. Nithishrajan, M. Gaouthaman, and B. Chandraditya. "Probabilistic Response of a Vibration Energy Harvester With Customized Nonlinear Force Driven by Random Excitation." In ASME 2021 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2021. http://dx.doi.org/10.1115/imece2021-68647.

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Abstract Nonlinear restoring forces have been widely introduced into the harvesting of vibratory energy to enhance energy harvester performance. Generally, the various source of nonlinearity include magnetic forces, spring forces, geometric and material nonlinearity, etc. However, these kind of nonlinear forces cannot be manipulated in an arbitrary manner. The performance of the energy harvester can be further optimized if the nonlinear forces are manipulated according to the requirements. The aim of this work is to study the energy harvesting performance of vibration energy harvester that can
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