Luis Mario Chaparro JaquezUniversity of Leeds · Department of Statistics
Luis Mario Chaparro Jaquez
Bachelor of Engineering
About
3
Publications
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Introduction
I am concerned with the theoretical analysis of numerical schemes for SDEs and the implementation of said schemes.
Skills and Expertise
Education
January 2021 - December 2024
August 2015 - February 2019
Publications
Publications (3)
We present an Euler scheme developed to solve SDEs with distributional drifts belonging to a Hölder-Zygmund space and unit diffusion driven by a standard Brownian motion. In particular the empirical and theoretical results for the linear SDE case and the advances on an alternative approach to the numerical solution of one type of McKean-Vlasov SDEs...
![Figure 1. From left to right: I N (y) for y ∈ [−5, 5] and 1/N =...](profile/Luis-Mario-Chaparro-Jaquez/publication/374388055/figure/fig1/AS:11431281195115476@1696325415814/From-left-to-right-I-N-y-for-y-5-5-and-1-N-0199494-0068111-respectively_Q320.jpg)
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Hölder-Zygmund space C −γ of negative order −γ < 0 in the spacial variable. We design an Euler-Maruyama numerical scheme and prove its convergence, obtaining an upper bound for the strong L 1 convergen...
The current work aims to create a numerical scheme to approximate the solution to an SDE where the drift coefficient belongs to a space of distributions, in particular Hölder-Zygmund space of negative order.
