Article citationsMore>>

Yang, J. and Zhao, W. (2016) Numerical Simulations for G-Brownian Motion. Frontiers of Mathematics in China, 11, 1625-1643.
https://doi.org/10.1007/s11464-016-0504-9

has been cited by the following article:

• TITLE: Numerical Scheme for Solving Stochastic Differential Equations with G-Lévy Process

  AUTHORS: Jiawen Mei, Yifei Xin

  KEYWORDS: G-Lévy Process, G-Expectation Property, SDEs, Euler Scheme

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.10 No.2, February 24, 2022

  ABSTRACT: In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itô formula and G-expectation property, we propose Euler scheme and Milstein scheme which have order-1.0 convergence rate. And two numerical experiments including Ornstein-Uhlenbeck and Black-Scholes cases are given.